Mental disorders can severely affect quality of life, constitute a major predictive factor of suicide, and are usually underdiagnosed and undertreated. Early detection of signs of mental health problems is particularly important, since unattended, they can be life-threatening. This is why a deep understanding of the complex manifestations of mental disorder development is important. We present a study of mental disorders in social media, from different perspectives. We are interested in understanding whether monitoring language in social media could help with early detection of mental disorders, using computational methods. We developed deep learning models to learn linguistic markers of disorders, at different levels of the language (content, style, emotions), and further try to interpret the behavior of our models for a deeper understanding of mental disorder signs. We complement our prediction models with computational analyses grounded in theories from psychology related to cognitive styles and emotions, in order to understand to what extent it is possible to connect cognitive styles with the communication of emotions over time. The final goal is to distinguish between users diagnosed with a mental disorder and healthy users, in order to assist clinicians in diagnosing patients. We consider three different mental disorders, which we analyze separately and comparatively: depression, anorexia, and self-harm tendencies.