Being born small for gestational age (SGA) at term increases the risk of adverse health outcomes. We examined whether self-reported mental health differed between adults born SGA and non-SGA at term and could be used to screen for psychiatric diagnoses. We used the Strengths and Difficulties Questionnaire to gather data from 68 participants born SGA and 88 non-SGA controls at a mean age of 26.5 years. Group differences were analysed by linear regression. We calculated the area under the curve and the sensitivity, specificity and predictive values for psychiatric diagnoses. The mean total difficulties score was 1.9 (95% confidence interval 0.4-3.5) points higher for participants born SGA. They also reported more internalising and emotional problems (p < 0.05). The areas under the curve were 0.82 and 0.68 in the SGA and control groups, respectively. Among participants born SGA, the 90th percentile cut-off had a sensitivity of 0.38, a specificity of 0.93 and positive and negative predictive values of 0.75 and 0.71. The 80th percentile cut-off had higher sensitivity and lower specificity. Adults born SGA reported more mental health difficulties than non-SGA controls. The low sensitivity using the 90th percentile cut-off suggests that a lower cut-off should be considered.