Author summary Why was this study done? Patients with severe mental illness (SMI) have been reported to have excess mortality from sepsis (number of deaths due to sepsis in the whole population). Whether SMI is associated with higher or lower sepsis-associated case fatality remains unclear (number of deaths due to sepsis in the population with sepsis). No study has determined whether SMI is associated with excess case fatality in patients with septic shock, the most severe form of sepsis when accounting for the most relevant confounding variables. What did the researchers do and find? In this nationwide, population-based cohort study, we compared 30-, 90-, and 365-day case fatality rates (CFRs) in septic shock patients with and without SMI admitted to the intensive care unit (ICU). We identified 187,587 adult patients with septic shock admitted to the ICU, including 3,812 with schizophrenia, 2,258 with bipolar disorder, and 5,246 with major depressive disorder. The 30-, 90-, and 365-day CFRs were lower in patients with SMI than in patients without SMI after controlling for multiple potential confounding factors (using intrahospital matching and adjustments for multiple comorbidities and illness severity) and addressing potential biases not considered in previous studies. What do these findings mean? Our findings suggest improved septic shock outcomes in patients with SMI compared to patients without. Our findings also suggest that the excess mortality from sepsis is due to an increased risk of sepsis/infection among patients with SMI, but not due to increase case fatality among septic patients. This finding may be the result of different immunological profiles and exposures to psychotropic medications, a hypothesis that needs to be confirmed in future studies.