Objective: People with severe mental illness have similar cancer incidence, but higher mortality than the general population. Participation in cancer screening may be a contributing factor but existing studies are conflicting. The aim of this study was to investigate the frequency of colorectal, prostate and cervical cancer screening among people with and without severe mental illness in Australia, who have access to universal health care. Methods: We followed three cohorts using de-identified data from a random 10% sample of people registered for Australia’s universal health care system: those aged 50–69 years (n = 760,058) for colorectal cancer screening; women aged 18–69 years (n = 918,140) for cervical cancer screening and men aged 50–69 years (n = 380,238) for prostate cancer screening. We used Poisson regression to estimate incidence rate ratios and 95% confidence intervals for the association between severe mental illness and rates of faecal occult blood testing, pap smears and prostate-specific antigen testing. Results: Having severe mental illness was associated with a 17% reduction in rates of pap smear (incidence rate ratio = 0.83, 95% confidence interval: 0.82–0.84) and prostate-specific antigen testing (incidence rate ratio = 0.83, 95% confidence interval: 0.81–0.85), compared to the general population. By contrast, incidence rates of faecal occult blood testing were only lower in people with severe mental illness among the participants who visited their general practitioner less than an average of five times per year (incidence rate ratio = 0.83, 95% confidence interval = [0.73, 0.94]). Conclusion: Our results suggest that differences in screening frequency may explain some of the mismatch between cancer incidence and mortality in people with severe mental illness and indicate that action is required to improve preventive screening in this very disadvantaged group.