Gene-environment interactions (GxE) are often suggested to play an important role in the aetiology of psychiatric phenotypes, yet so far, only a handful of genome-wide environment interaction studies (GWEIS) of psychiatric phenotypes have been conducted. Representing the most comprehensive effort of its kind to date, we used data from the UK Biobank to perform a series of GWEIS for neuroticism across 25 broadly conceptualised environmental risk factors (trauma, social support, drug use, physical health). We investigated interactions on the level of SNPs, genes, and gene-sets, and computed interaction-based polygenic risk scores (PRS) to predict neuroticism in an independent sample subset (N = 10,000). We found that the predictive ability of the interaction-based PRSs did not significantly improve beyond that of a traditional PRS based on SNP main effects from GWAS, but detected one variant and two gene-sets showing significant interaction signal after correction for the number of analysed environments. This study illustrates the possibilities and limitations of a comprehensive GWEIS in currently available sample sizes.