Researchers writing in the BMJ said mild mental health problems that usually fall under the radar of health services can raise the risk of an early death.
They warned the NHS may be failing to treat a quarter of the UK population who have mental health conditions anxiety and depression.
Researchers from University College London and Edinburgh University assessed data from 68,000 adults aged 35 and over who participated in the Health Survey for England between 1994 and 2004.
Previous research into the link between conditions such as anxiety and mortality had proved inconclusive.
The team compared psychological distress, measured using a score, against cause of death.
They found the risk of death rose progressively in line with rising levels of distress.
Lead author Dr Tom Russ said: 'We found that psychological distress was a risk factor for death from all causes, cardiovascular disease, and external causes - the greater the distress, the higher the risk. However, even people with low distress scores were at an increased risk of death.
'Currently these people - a quarter of the adult population - are unlikely to come to the attention of mental health services due to these symptoms and may not be receiving treatment.'
Co-author Dr David Batty said: 'These associations also remained after taking into account other factors such as weight, exercise, smoking, alcohol consumption and diabetes. Therefore this increased mortality is not simply the result of people with higher levels of psychological distress smoking or drinking more, or taking less exercise.'