Background: Economic evaluation of individual interventions can have limited usefulness due to the potential for methodological confounding, particularly for those decision contexts where strategies involving multiple interventions are required. Aims: To introduce readers to different approaches of priority-setting, with a focus on economics-based examples of priority-setting in mental health. Method: A selective review of the priority-setting literature, with particular attention given to the mental health context and economics-based approaches. Results: Six priority-setting approaches in mental health are described and assessed. Conclusions: Priority-setting approaches that incorporate methodological rigour, due process for involving stakeholders and broad-based notions of “benefit”, are likely to be of most use to mental healthcare decision-makers. Challenges, both in relation to data bases and method remain, but are within the capacity of the mental health research community to resolve.