Mental illnesses - such as schizophrenia, affective disorders, and personality disorders - are associated with heavy economic and non-economic burdens. This study paper examines the relationship between socioeconomic status in early childhood and the probability of developing schizophrenia, affective disorders, and personality disorders. The study looks at Danish men born in 1981 and have control for family factors one year before the birth of the child. The results show that men born in low-income families are more likely to be hospitalized with affective disorders. Men born in families where the father was not employed at the child's birth are more likely to be hospitalized with schizophrenia or personality disorder, compared with men born in families where the father was employed as wage-earner. In general, few people in the population have a severe mental illness and, consequently, the probability of developing a severe mental illness is low. However, the relative differences in the predicted probability of developing a mental illness are large when comparing children who grew up families with average characteristics with children who grew up in families with low socioeconomic status - i.e., household income is low, parental education is basic, and parental occupational status is not employed.