Background: There is a higher incidence of psychotic disorders in neighbourhoods of greater social deprivation. However, it is not known whether this represents a causal relationship, as the stage at which social deprivation exerts its influence on the development of psychotic disorders is yet to be elucidated. We aimed to investigate the association between neighbourhood-level social deprivation and the rate of identification of individuals at Ultra-High Risk for psychosis (UHR), as well as the risk of transition to psychosis in UHR individuals. Methods: The cohort included all young people aged 15 to 24 identified as UHR attending an Early Intervention clinic in northwestern Melbourne over a 5-year period (2012–2016). Australian census data were used to obtain the at-risk population and social deprivation information according to the postcode of residence. Levels of social deprivation were arranged into quartiles. Poisson regression was used to calculate rate ratios and Cox regression analysis determined hazard ratios. Results: Of the 461 young people identified as UHR, 11.1% (n = 49) lived in the most affluent neighbourhoods (Quartile 1) compared to 36.7% (n = 162) in the most deprived neighbourhoods (Quartile 4). There was a 35% higher rate of identification of young people who were UHR from the most deprived neighbourhoods (aIRR = 1.35, 95% CI 0.98, 1.86). Over a median follow-up of approximately 10 months (308 days (IQR: 188–557), 17.5% (n = 77) were known to have transitioned to a full-threshold psychotic disorder. Residing in a neighbourhood of above average deprivation had a hazard ratio of 2.05 (95% CI 0.88, 4.80) for risk of transition, when controlling for age, sex and substance use. Conclusions: These findings provide more support that EI services should be funded as per the expected incidence of psychotic disorders.