The concept of intelligent health (iHealth) in mental healthcare integrates artificial intelligence (AI) and Big Data analytics. This article is an attempt to outline ethical aspects linked to iHealth by focussing on three crucial elements that have been defined in the literature: self-monitoring, ecological momentary assessment (EMA), and data mining. The material for the analysis was obtained by a database search. Studies and reviews providing outcome data for each of the three elements were analyzed. An ethical framing of the results was conducted that shows the chances and challenges of iHealth. The synergy between self-monitoring, EMA, and data mining might enable the prevention of mental illness, the prediction of its onset, the personalization of treatment, and the participation of patients in the treatment process. Challenges arise when it comes to the autonomy of users, privacy and data security of users, and potential bias.