Migrants appear to have a higher risk of mental disorders, but findings vary across country settings and migrant groups. We aimed to assess incidence and prevalence of mental disorders among immigrants and Finnish-born controls in a register-based cohort study. A register-based cohort study of 184.806 immigrants and 185.184 Finnish-born controls (1.412.117 person-years) was conducted. Information on mental disorders according to ICD-10 was retrieved from the Hospital Discharge Register, which covers all public health care use. The incidence of any mental disorder was lower among male (adjusted HR 0.82, 95% CI 0.77-0.87) and female (aHR 0.76, 95% CI 0.72-0.81) immigrants, being lowest among Asian and highest among North African and Middle Eastern immigrants. The incidence of bipolar, depressive and alcohol use disorders was lower among immigrants. Incidence of psychotic disorders was lower among female and not higher among male immigrants, compared with native Finns. Incidence of PTSD was higher among male immigrants (aHR 4.88, 95% CI 3.38-7.05). The risk of mental disorders varies significantly across migrant groups and disorders and is generally lower among immigrants than native Finns.