Increasing evidence suggests that mental health and physical health are linked by neural systems that jointly regulate somatic physiology and high-level cognition. Key systems include the ventromedial prefrontal cortex and the related default-mode network. These systems help to construct models of the 'self-in-context', compressing information across time and sensory modalities into conceptions of the underlying causes of experience. Self-in-context models endow events with personal meaning and allow predictive control over behaviour and peripheral physiology, including autonomic, neuroendocrine and immune function. They guide learning from experience and the formation of narratives about the self and one's world. Disorders of mental and physical health, especially those with high co-occurrence and convergent alterations in the functionality of the ventromedial prefrontal cortex and the default-mode network, could benefit from interventions focused on understanding and shaping mindsets and beliefs about the self, illness and treatment.