Background: This study assessed the relationship between non-participation in health checkups and all-cause mortality and morbidity, considering socioeconomic status. Methods: Healthy, middle-aged (35–54 years) working individuals who maintained either self-employed or employee status from 2006–2010 were recruited in this retrospective cohort study from the National Health Insurance Service in Korea. Health check-up participation was calculated as the sum of the number of health check-ups in 2007–2008 and 2009–2010.Adjusted hazard ratio (HR) and 95% confidence interval (CI) of all-cause mortality were estimated for each gender using multivariable Cox proportional hazard models, adjusting for age, income, residential area, and employment status. Interaction of non-participation in health check-ups and employment status on the risk of all-cause mortality was further analyzed. Results: Among 4,267,243 individuals with a median 12-year follow-up (median age, 44;men, 74.43%), 89,030 (2.09%) died. The proportion (number) of deaths of individuals with no, one-time, and two-time participation in health check-ups was 3.53% (n = 47,496), 1.66% (n = 13,835), and 1.33% (n = 27,699), respectively. The association between health checkup participation and all-cause mortality showed a reverse J-shaped curve with the highest adjusted HR (95% CI) of 1.575 (1.541–1.611) and 1.718 (1.628–1.813) for men and women who did not attend any health check-ups, respectively. According to the interaction analysis, both genders showed significant additive and multiplicative interaction, with more pronounced additive interaction among women who did not attend health check-ups (relative excess risk due to interaction, 1.014 [0.871−1.158]). Conclusion Our study highlights the significant reverse J-shaped association between health check-up participation and all-cause mortality. A pronounced association was found among self-employed individuals, regardless of gender.