The aim of this study was to investigate whether personal stigma decreases self-identification as having a mental illness in individuals with untreated mental health problems. We interviewed 207 persons with a currently untreated mental health problem as confirmed by a structured diagnostic interview. Measures included symptom appraisal, self-identification as having a mental illness (SELFI), self-labeling (open-ended question on the nature of their problem) stigma-related variables (explicit and implicit), as well as sociodemographics, current symptom severity, and previous treatment. Support for discrimination and implicit stigmatizing attitude were both associated with lower likelihood of self-identification. More social distance and support for discrimination were associated with less self-labeling. Previous treatment was the strongest predictor of symptom appraisal, SELFI, and self-labeling. Destigmatizing mental illness could increase awareness of personal mental health problems, potentially leading to lower rates of untreated mental illness.