The epidemiology of mental disorders in early childhood is still under-researched. We aim to explore the incidence, comorbidities and risk factors of mental disorders in 0–3-year-olds referred to hospital settings. In a national cohort of 918,280 children born in 1997–2010, we calculated incidence rates per 1,000 person-years (IR) of first-time mental and developmental disorders diagnosed in hospitals before four years of age. Data were obtained from Danish population registries. We used logistic regression to analyse co-morbidity and Cox proportional hazard models to evaluate the influence of pre- and perinatal risk factors. A total of 16,164 children (1.76%) were diagnosed with a mental (0.90%) or developmental disorder (1.05%). Pervasive developmental disorders (PDD) and disorders of hyperactivity and inattention (ADHD) were increasingly diagnosed with age. Feeding and eating disorders and disorders of social functioning were most frequent among the youngest children. Comorbidity was found in 18%, e.g., between PDD and ADHD (OR 135.8; 95% CI 112.0–164.7) or between ADHD and disorders of social functioning (OR 148.0; 95% CI 106.4–205.7). Young maternal age, old paternal age, maternal smoking in pregnancy, boy sex, premature birth and being small for gestational age were associated with highly increased risk of mental and developmental disorders. Mental and developmental disorders diagnosed within the first four years of life show increasing incidence rates and a complex pattern of comorbidities. Study findings point to the need of clinical and research attention towards the manifestations of developmental psychopathology in very young children.