OBJECTIVE: To set investment priorities in global mental health research and to propose a more rational use of funds in this under-resourced and under-investigated area. METHODS: Members of the Lancet Mental Health Group systematically listed and scored research investment options on four broad classes of disorders: schizophrenia and other major psychotic disorders, major depressive disorder and other common mental disorders, alcohol abuse and other substance abuse disorders, and the broad class of child and adolescent mental disorders. Using the priority-setting approach of the Child Health and Nutrition Research Initiative, the group listed various research questions and evaluated them using the criteria of answerability, effectiveness, deliverability, equity and potential impact on persisting burden of mental health disorders. Scores were then weighted according to the system of values expressed by a larger group of stakeholders. FINDINGS: The research questions that scored highest were related to health policy and systems research, where and how to deliver existing cost-effective interventions in a low-resource context, and epidemiological research on the broad categories of child and adolescent mental disorders or those pertaining to alcohol and drug abuse questions. The questions that scored lowest related to the development of new interventions and new drugs or pharmacological agents, vaccines or other technologies. CONCLUSION: In the context of global mental health and with a time frame of the next 10 years, it would be best to fill critical knowledge gaps by investing in research into health policy and systems, epidemiology and improved delivery of cost-effective interventions.