That's the number of veterans without health insurance in the U.S., according to a May 2012 Urban Institute Report, Uninsured Veterans and Family Members: Who Are They and Where Do They Live? (PDF). The report says another 0.9 million vets "use VA care, but have no other health insurance coverage." Additionally. some 0.9 million veterans' family members are uninsured.
The report contains an extremely detailed demographic breakdown of veterans with and without insurance, including socio-economic characteristics and geographic location. Table 6 --Unmet and Delayed Medical Needs and Health Problems, Nonelderly Veterans and Veterans’ Nonelderly Family Members, by Insurance Status, 2009–2010 -- on page 8, contains some interesting numbers.
According to this table, 15.9% of uninsured veterans are identified as "Limited Because of Physical, Mental or Emotional Problems." Among insured vets? The number is 21.2%. One assumption might be that veterans with insurance are more likely to have seen a health care provider of some sort, who formally identified a mental/emotional issue.