BACKGROUND: We aimed to compare the risk of incident depression, anxiety, non-fatal self-harm and completed suicide in survivors from a wide range of cancers versus cancer-free individuals. METHODS: We used electronic health records from the United Kingdom Clinical Practice Research Datalink linked to cancer registry data, hospital admissions data and death records between 1998 and 2021. Adult survivors of the 20 most common cancers were matched (age, sex, general practice) 1:10 to cancer-free individuals. Cox regression models, adjusted for shared risk factors, were used to estimate associations between cancer survivorship and mental health outcomes. FINDINGS: 853,177 adults with cancer diagnosed in 1998-2018 were matched to 8,106,643 cancer-free individuals. Survivors of all 20 cancer types under study had a higher risk of experiencing a new episode of anxiety and depression during follow-up compared with cancer-free individuals; there was also evidence of raised risks of non-fatal self-harm in 17/20 cancers and completed suicide in 8/20 cancers. Effect sizes were greatest in cancers with poorer 5-year survival: hazard ratios (HRs) for anxiety and depression of 1.1-1.2 were seen for malignant melanoma survivors, while HRs for both outcomes were >2.5 for lung and oesophageal cancer survivors. HRs were highest in the first year from cancer diagnosis, reducing over time since diagnosis. However, 5-year cancer survivors still experienced elevated risks of a subsequent new episode of anxiety or depression, in 18/20 cancers. INTERPRETATION: Survivors of the 20 most common cancers were at increased risk of experiencing depression and anxiety, and these increased risks persisted in medium-to long-term cancer survivors. Substantially raised risks of non-fatal self-harm and completed suicide were also seen for several types of cancer. The risks of all mental health outcomes were generally higher in survivors of cancers with poorer prognosis. Our findings suggest a need for improved psychological support for all patients with cancer. FUNDING: Wellcome Trust.