Social media platforms possess considerable potential in the realm of exploring mental health. Previous research has indicated that major life events can greatly impact individuals’ mental health. However, due to the complexity and ambiguity nature of life events, shedding its light on social media data is quite challenging. In this paper, we are dedicated to uncovering life events mentioned in posts on social media. We hereby provide a carefully-annotated social media event dataset, PsyEvent, which encompasses 12 major life event categories that are likely to occur in everyday life. This dataset is human-annotated under iterative procedure and boasts a high level of quality. Furthermore, by applying the life events extracted from posts to downstream tasks such as early risk detection of depression and suicide risk prediction, we have observed a considerable improvement in performance. This suggests that extracting life events from social media can be beneficial for the analysis of individuals’ mental health.