Self-employment is a significant component of South Korea's labor force; yet, it remains relatively understudied in the context of occupational safety and health. Owing to different guidelines for health checkup participation among economically active individuals, disparities in health maintenance may occur across varying employment statuses. This study aims to address such disparities by comparing the risk of all-cause mortality and comorbidities between the self-employed and employee populations in South Korea, using nationwide data. We sought to provide insights relevant to other countries with similar cultural, social, and economic contexts. This nationwide retrospective study used data from the Korean National Health Insurance Service database. Participants (aged 20-59 y) who maintained the same insurance type (self-employed or employee insurance) for ≥3 years (at least 2008-2010) were recruited for this study and monitored until death or December 2021-whichever occurred first. The primary outcome was all-cause mortality. The secondary outcomes were ischemic heart disease, ischemic stroke, cancer, and hospitalization with a mental illness. Age-standardized cumulative incidence rates were estimated through an indirect method involving 5-unit age standardization. A multivariable Cox proportional hazards model was used to estimate the adjusted hazard ratio (HR) and 95% CI for each sex stratum. Subgroup analyses and an analysis of the effect modification of health checkup participation were also performed. A total of 11,652,716 participants were analyzed (follow-up: median 10.92, IQR 10.92-10.92 y; age: median 42, IQR 35-50 y; male: n=7,975,116, 68.44%); all-cause mortality occurred in 1.27% (99,542/7,851,282) of employees and 3.29% (124,963/3,801,434) of self-employed individuals (P<.001). The 10-year cumulative incidence rates of all-cause mortality differed significantly by employment status (1.1% for employees and 2.8% for self-employed individuals; P<.001). The risk of all-cause mortality was significantly higher among the self-employed individuals when compared with that among employees, especially among female individuals, according to the final model (male: adjusted HR 1.44, 95% CI 1.42-1.45; female: adjusted HR 1.89, 95% CI 1.84-1.94; P<.001). The risk of the secondary outcomes, except all types of malignancies, was significantly higher among the self-employed individuals (all P values were <.001). According to subgroup analyses, this association was prominent in younger individuals with lower incomes who formed a part of the nonparticipation groups. Furthermore, health checkup participation acted as an effect modifier for the association between employment status and all-cause mortality in both sexes (male: relative excess risk due to interaction [RERI] 0.76, 95% CI 0.74-0.79; female: RERI 1.13, 95% CI 1.05-1.21). This study revealed that self-employed individuals face higher risks of all-cause mortality, cardio-cerebrovascular diseases, and mental illnesses when compared to employees. The mortality risk is particularly elevated in younger, lower-income individuals who do not engage in health checkups, with health checkup nonparticipation acting as an effect modifier for this association.