Objective: The aim of this study was to investigate participation in employment, education, or training among a national cohort of young people presenting to youth-specific mental health services across Australia, and identify the key demographic and clinical correlates of non-participation. Method: Clinician and self-reported demographic and clinical characteristics were ascertained for 57,644 young people aged 15–25 years presenting to a national youth-specific mental health service between 1 April 2013 and 31 March 2015, including level of participation in education, employment, or training in four categories (not participating, not in the labour force, partial participation, and full participation). Results: The results showed that these young people are very vulnerable to non-participation in employment, education or training. Characteristics most strongly associated with non-participation were being Aboriginal or Torres Strait Islander, male, homeless, diagnosed with a substance use disorder, or having a neurodevelopmental disorder in young adulthood. Discussion: The results extend understanding of the major risk factors associated with non-participation in employment, education, or training for help-seeking young people. Distinct patterns emerged across the three non-participation groups suggesting that support must be tailored to individual needs. Supporting those who experience mental illness to re-engage is essential to buffer against the long-term impacts. Holistic, integrated services that can incorporate mental health and vocational services are crucial for prevention, early intervention, and treatment.