A sample of 209,442 observations (or 24,966 unique individuals) aged 15 and over spanning 18 years (2002–2019) was extracted from the Household Income and Labour Dynamics in Australian Survey (HILDA). To do so we use a novel approach, incorporating longitudinal and instrumental variable methods which can address the reciprocal relationship between physical and mental health, and the endogeneity of physical health, before estimating the physical to mental health pathway. We aim to derive robust estimates of the unique role physical health may play in shaping mental health outcomes. Mostly the research has focussed on mental health as the key driver of this inter-connection the extent physical health shapes mental health has received less attention. It is well known that physical and mental health are closely related, with growing evidence for biological and behavioural pathways.