Morbidity and mortality occur at higher rates in those with serious mental illness (SMI) than those without SMI. These higher rates are worsening in degree, despite known preventative strategies, such as physical health risk screening (HRS). This study evaluates the relationship of physical HRS with self-efficacy for health prevention behaviors, perception of level of risk of health consequences, and intention to follow up with medical care for identified health risks. The study considers Protection Motivation Theory (PMT) factors related to HRS in individuals with SMI. A HRS tool was administered to 54 adult ambulatory clients from the Midwestern United States that met diagnostic criteria for SMI. The HRS, the Health Improvement Profile (HIP), was tested for relationship to: self-efficacy for health prevention behaviors, awareness of risk for health consequences (perceived threat), and intention to follow-up with medical care for health risks. Physical health risk scores were found to lack relationship to perceived level of risk. Self-Efficacy for health, measured by the Self-Reported Abilities for Health Practices (SRAHP) was found to significantly relate to physical health risk level and perceived health risk. Regression analysis including SRAHP, health risk score, employment status, months of mental illness, and number of supplements was able to infer level of perceived health risk, accounting for 36% of the variance. Self-efficacy for health, as a component of PMT, is salient to HRS in those with SMI, and warrants further investigation as an intervention to improve intention to take health protective behaviors.