Physical work exposures and common mental disorders (CMD) have been linked to increased risk of work disability, but their joint associations with disability retirement due to any cause, mental disorders or musculoskeletal diseases have not been examined. The data for exposures and covariates were from the Finnish Helsinki Health Study occupational cohort surveys in 2000-2002, 2007 and 2012. We used 12,458 observations from 6159 employees, who were 40-60 years old at baseline. CMD were measured by the General Health Questionnaire (GHQ-12, cut-off point 3+). Four self-reported work exposures (hazardous exposures, physical workload, computer and shift work) were combined with CMD and categorized as "neither", "work exposure only", "CMD only", and "both". Associations with register-based disability retirement were assessed with Cox proportional hazards models for sample survey data adjusting for confounders over 5-year follow-up. Additionally, synergy indices were calculated for the combined effects. Those reporting CMD and high physical workload had a greater risk of disability retirement due to any cause (HR 4.26, 95% CI 3.60-5.03), mental disorders (HR 5.41, 95% CI 3.87-7.56), and musculoskeletal diseases (HR 4.46, 95% CI 3.49-5.71) when compared to those with neither. Synergy indices indicated that these associations were synergistic. Similar associations were observed for CMD and hazardous exposures, but not for combined exposures to CMD and computer or shift work. Identification of mental health problems among employees in physically demanding jobs is important to support work ability and reduce the risk of premature exit from work due to disability.