Abstract Self-stigma is associated with poor clinical and functional outcomes in Serious Mental Illness (SMI). There has been no review of self-stigma frequency and correlates in different cultural and geographic areas and SMI. The objectives of the present study were: (1) to review the frequency, correlates, and consequences of self-stigma in individuals with SMI; (2) to compare self-stigma in different geographical areas and to review its potential association with cultural factors; (3) to evaluate the strengths and limitations of the current body of evidence to guide future research. A systematic electronic database search (PubMed, Web of Science, PsycINFO, Scopus, and Ovid SP Cumulative Index to Nursing and Allied Health Literature [CINAHL]) following PRISMA guidelines, was conducted on the frequency, correlates, and consequences of self-stigma in SMI. Out of 272 articles, 80 (29.4%) reported on the frequency of self-stigma (n = 25 458), 241 (88.6%) on cross-sectional correlates of self-stigma and 41 (15.0%) on the longitudinal correlates and consequences of self-stigma. On average, 31.3% of SMI patients reported high self-stigma. The highest frequency was in South-East Asia (39.7%) and the Middle East (39%). Sociodemographic and illness-related predictors yielded mixed results. Perceived and experienced stigma—including from mental health providers—predicted self-stigma, which supports the need to develop anti-stigma campaigns and recovery-oriented practices. Increased transition to psychosis and poor clinical and functional outcomes are both associated with self-stigma. Psychiatric rehabilitation and recovery-oriented early interventions could reduce self-stigma and should be better integrated into public policy.