Schizophrenia (SZ), bipolar disorder (BD), and depressive disorder (DEP) are disabling diseases influenced by genetic and environmental factors. Several risk factors have been identified for these disorders in various systematic reviews, meta-analyses, and umbrella reviews. Identifying risk factors for these disorders is essential to be able to target disorder-specific or transdiagnostic interventions. We aimed to systematically review existing meta-analyses on selected risk factors for SZ, BD, and DEP. We systematically searched for meta-analyses of risk factors relating to pregnancy and birth, childhood and adolescence, lifestyle, somatic conditions, infectious agents, and environmental exposures published since 2000. The transdiagnostic comparison included 70 meta-analyses, encompassing results for 55 risk factors that were studied across at least two of the three disorders. In our extensive transdiagnostic umbrella, 74% of reported effect sizes for the risk factors from meta-analyses were statistically significant. Childhood maltreatment was a robust transdiagnostic risk factor for all three disorders. We also found differences in risk factors, for example, pregnancy and birth complications associated strongly with SZ risk, and several somatic conditions were associated with DEP. It should be noted that many meta-analyses were low quality and based on a small number of original studies. More high-quality longitudinal research is needed on many risk factors to be able to evaluate their validity in single outcomes and their potential specificity or non-specificity.