Nonparticipants in epidemiological studies may differ in important respects from participants but the magnitude of this potential bias is rarely quantified. This study estimates the effect of nonparticipation on estimates of mental health problems following stillbirth, neonatal death or sudden infant death syndrome. Of 805 families approached, 512 (64 per cent) were recruited, of whom 77 per cent of mothers and 71 per cent of fathers completed four study interviews. Younger, unmarried, unemployed parents without private health insurance were less often recruited, and even if recruited, were less likely to complete the interview. By evaluating several possible scenarios, we estimated that had mothers lost to follow-up remained in the study, anxiety rates would have varied by no more than +/-4 per cent. Relative risks associated with bereaved-control comparisons would have differed little from the observed estimate of 2.33. Estimating the effects of initial nonresponse is more difficult but the adoption of a worst-case scenario produced a relative risk of 3.47. Despite systematic nonparticipation suggestive of social disadvantage, attrition-related bias may have had only a modest effect on anxiety and depression rate estimates. However, this may not be the case when sample loss is high, when associations between attrition and outcome are strong, and when attrition-related behaviour differs across comparison groups.