Postgraduate research students (PGRs) experience disproportionately high levels of psychological distress. Many factors contribute to this poor mental wellbeing and relate to each other in complex and dynamic ways. However, the relationship between PGRs and their supervisor(s) is known to strongly affect the wellbeing of the former. This study explores the mental health and wellbeing of PGRs with a focus on the role of the student--supervisor relationship. Using combined qualitative data from a large survey of PGRs and focus groups and reflexive thematic analysis, we found that PGRs experience the overarching process of obtaining a research degree as a mental labyrinth. Three constituent themes were identified: (1) inequity in navigating the labyrinth, (2) the labyrinth as a place of uncertainty and isolation, and (3) supervisors as labyrinth guides, not mental care providers. The results suggest that significant inequities exist which contribute to poorer mental wellbeing in particular subgroups of PGRs, both in general and specifically in relation to the supervisory relationship. Experiences of loneliness and ambiguity around progress were also identified as being detrimental to mental health. Furthermore, although supervisors can be a vital source of support and have a positive influence on PGR mental health, students recognise supervisors cannot reasonably be expected to act as professional mental health care providers and institutions must do more to provide equitable access to mental health support services.