We aimed to test whether asexual individuals were at increased risk of higher levels of depressive symptoms, self-harm attempts, and suicide attempts compared with heterosexual, bisexual, or gay/lesbian individuals using multivariate meta-analysis. Seventeen, five, and eight samples were included for depressive symptoms, self-harm attempts, and suicide attempts, respectively, reaching a total sample size of 125,675, 30,116, and 73,366, respectively. Asexual individuals reported higher levels of depressive symptoms than heterosexual individuals (Hedges’ g = -0.44, 95%CI = [-0.61, -0.26]) but did not differ from heterosexual individuals in the risk of self-harm (odds ratio = 1.11, 95%CI = [0.88, 1.39]) and suicide attempts (odds ratio = 0.76, 95%CI = [0.56, 1.04]). Asexual individuals were at lower risk of self-harm and suicide attempts than bisexual and gay/lesbian individuals but did not differ from bisexual and gay/lesbian individuals in the levels of depressive symptoms. The greatest risk of higher levels of depressive symptoms was found in bisexual and asexual, followed by gay/lesbian individuals; the greatest risk of self-harm and suicide attempts was found in bisexual, followed by gay/lesbian individuals, and the lowest risk was found in asexual individuals. The magnitude of the disparities in the risk of poorer mental health among heterosexual, bisexual, gay/lesbian, and asexual individuals depended on the type of mental health outcomes.