A recurrent finding in international literature is a greater prevalence of depression in women than in men. While explanations for this gender gap have been studied extensively at the individual level, few researchers have studied macro-level determinants of depression in men and women. In the current study we aim to examine the micro–macro linkage of the relationship between gender equality and depression by gender in Europe, using data from the European Social Survey, 2006–2007 (N = 39,891). Using a multilevel framework we find that a high degree of macro-level gender equality is related to lower levels of depression in both women and men. It is also related to a smaller gender difference in depression, but only for certain social subgroups and only for specific dimensions of gender equality.