Background: Life events (adversities) represent widely prevalent experiences that have been implicated as causes of mental illnesses. There is little known about whether the experience of multiple life events over the early life course predicts depression, anxiety and delusional thoughts in adulthood, independently of life events in adulthood. Methods: We take data from a long-running birth cohort study which follows mothers from pregnancy and their children to 40 years of age. Life events are measured in pregnancy, shortly after the birth, and at 5 and 14 years (mother report) and are also reported at 30 and 40 years (offspring report). Results: Life events experienced by mothers over the offspring's early life course and life events experienced by the offspring in adulthood are all significantly correlated. After adjustment for life events at other stages of the life course, only life events experienced in adulthood predict depression (OR 3.56: 2.18,5.83), anxiety (OR 2.68: 1.73,4.48) and delusional thoughts (OR 3.66: 2.07,6.47), all at 40 years. Conclusions: There is a strong association between life events and depression, anxiety and delusional thoughts. This is largely restricted to cross-sectional associations in adulthood. We find little support that the childhood experience of life events predicts mental illness, independently of the experience of life events in adulthood.