Precision psychiatry is an emerging field with transformative opportunities for mental health. However, the use of clinical prediction models carries unprecedented ethical challenges, which must be addressed before accessing the potential benefits of precision psychiatry. This critical review covers multidisciplinary areas, including psychiatry, ethics, statistics and machine-learning, healthcare and academia, as well as input from people with lived experience of mental disorders, their family, and carers. We aimed to identify core ethical considerations for precision psychiatry and mitigate concerns by designing a roadmap for research and clinical practice. We identified priorities: learning from somatic medicine; identifying precision psychiatry use cases; enhancing transparency and generalizability; fostering implementation; promoting mental health literacy; communicating risk estimates; data protection and privacy; and fostering the equitable distribution of mental health care. We hope this blueprint will advance research and practice and enable people with mental health problems to benefit from precision psychiatry.