Depression debilitates the lives of millions and is projected to be the second leading disease burden worldwide by 2020. At the population level, the causes of depression are found in the everyday social and physical environments in which people live. Research has shown that men and women often experience neighbourhood environments differently and that these variations are often reflected in health outcomes. The current study examines whether social and environmental correlates of depression are similar in men and women. This study examines whether (i) there are gender differences in the association between neighbourhood disadvantage and depressive symptoms, and (ii) dimensions of social capital and cohesion mediate these associations. Data come from the Montreal Neighbourhood Networks and Healthy Aging Study, which consists of a cluster stratified sample of Montreal census tracts (n(ct) = 300) and individuals within those tracts (ni = 2707). Depressive symptoms and social capital were measured with a questionnaire. Neighbourhood disadvantage was measured at the census tract level using data from the 2006 Canada Census. Multilevel logistic regression stratified by gender and a three-step mediation analysis procedure were used. Final sample size for these analyses was 2574 adults. Depressive symptoms had a prevalence of 17.3% in the overall sample. Disadvantage was associated with depressive symptoms in women only (OR = 1.25, 95% CI = 1.01-1.55). Perceived neighbourhood cohesion was shown to mediate the association of disadvantage and depressive symptoms in women (ab = 0.02; 95% CI = 0.003-0.04, p<0.05). Other socio-relational variables, specifically generalized trust and trust in neighbours were associated with depression in women but did not act as mediating variables. Health promotion initiatives meant to combat depression may wish to consider gender differences in the design and implementation of neighbourhood or peer-based programs.