Women in the UK military are more commonly diagnosed with a mental health disorder than men, but the reasons for this difference are not fully understood. This literature review identifies the risk factors for mental ill health in military personnel before serving, during service and as a veteran. The interaction of risk factors is complex and, in some cases, may be synergistic, such as experiencing adverse events in childhood and exposure to combat. Identification of risk factors allows further research to better understand differences between men and women, and the impact of these risk factors on army personnel. In turn this will inform better preventive strategies, which could be targeted at the primary, secondary or tertiary levels