Amy Winehouse died aged 27 - Michael Jackson, Elvis and Whitney Houston all died prematurely
Successful solo artists are twice as likely to die early compared to those in bands, the journal BMJ Open reports.
The study looked at the careers of 1,400 European and North American rock and pop stars who were famous between 1956 and 2006.
The chances of an European solo artist dying young was one in 10 - and twice as likely for those in North America.
Experts suggest that peer support from band mates may be protective.
The cut-off point of the study was 20 February 2012 - at which point 137 performers had died prematurely.
These included solo artists like Elvis, Jimi Hendrix, rapper 2Pac, Michael Jackson, Amy Winehouse and Whitney Houston.
And band members like Kurt Cobain from Nirvana, Sid Vicious from the punk group Sex Pistols and Stuart Cable from Stereophonics.
The stars' achievements were determined from international polls and top 40 chart successes, while details of their personal lives and childhoods were drawn from a range of music and official websites, published biographies and anthologies.
The average age of death was 39 years for European stars, with those from North America being six years older on average.
Solo performers were about twice as likely to die prematurely compared to those in a band, irrespective of whether they were European or Northern American.
And while the chances of a European solo artist dying young was one in 10 - it was double that for American solo artists at one in five. The authors speculate this may be due to longer tours in North America plus variations in access to health care and exposure to drugs.
Honey Langcaster-James, a psychologist who specialises in celebrity behaviour, believes the support of a band may be protective. 'All in the same boat'
She said: "Solo artists in general approach life in a solitary manner - deliberately choosing to go it alone.
"They can find themselves in a situation where everyone around them are paid employees - the PR guru, their manager - all interested in them from a financial point of view and not in their personal needs - it's hard for the artist to know who to trust.
"They travel a lot, are away from friends and family for long periods of time and only seen for their public image, not their real self - which can make them feel inferior, isolated and invalidated.
"Even for the general population, psychology research has found that people with support have increased lifespan - and those in a band may benefit even more from this - they are all in the same boat.
"It is easier to know who to trust - other members can stop an individual spiralling into self-destruction and pull them back into the group - both because of concern for the band mate, but also because they are all in it together."
The study also found that while gender and the age at which fame was reached did not influence life expectancy, ethnicity did - with those from non-white backgrounds more likely to die early.
And those that died of drug and alcohol problems were more likely to have had difficult or abusive childhood than those dying of other causes.
The authors of the study, from Liverpool and Manchester, suggest that a music career may be attractive to those escaping an unhappy childhood, but it may also provide the wealth and access to feed a predisposition to unhealthy and risky behaviour.
In the paper they write: "Pop/rock stars are among the most common role models for children, and surveys suggest that growing numbers aspire to pop stardom.
"A proliferation of TV talent shows and new opportunities created by the internet can make this dream appear more achievable than ever.
"It is important they [children] recognise that substance use and risk taking may be rooted in childhood adversity rather than seeing them as symbols of success."