The objective of this study was to evaluate the incidence of malignancies among newly diagnosed systemic lupus erythematosus (SLE) patients compared to reference individuals. Another aim was to assess the survival of SLE patients with malignancy compared to references with malignancy. Finnish adult (>17 years) newly diagnosed SLE patients were identified by their drug reimbursement decisions made during 1.1.2000–31.12.2014 from the register of the Social Insurance Institution. For each case, three population controls were individually selected by age, sex and place of residence. Overall, 1006 SLE patients (women 84%), with a mean age of 45.5 years (SD 16 years) and 3005 population controls were linked to Finnish Cancer Registry, and the information about incident malignancies was retrieved from the day the special reimbursement decision for SLE medication was accepted (index day, ID) until 31.12.2018 or until death. The patients diagnosed with malignancy were followed up until 31.12.2019 considering survival. During the follow-up, 85 SLE patients (women 78%) and 192 controls (women 78%) had developed one or more malignancy after the ID. The incidence rate ratio for any malignancy was 1.41 (95% CI 1.08–1.85). The most common malignancy in SLE patients was non-Hodgkin lymphoma, with twelve cases. SLE patients with malignancy had a lower adjusted 15-year survival than controls with malignancy, 27.1% versus 52.4%, and the adjusted hazard ratio for death was 1.68 (95% CI 1.17–2.43). Our results confirm that SLE patients have a higher risk for overall malignancy. The results also suggest that SLE patients with malignancy have lower survival than their references with malignancy.