The aim of this study was to estimate the association between country income distribution and human development with the 12-month occurrence of major depressive episodes across countries. A total of 251,158 people surveyed by the World Health Organization from 2002 to 2003 from 65 countries were included in the study. The survey contained items for identifying major depressive episodes (MDE) in the previous 12 months, attained education (used as an indicator of individual socioeconomic status) and other demographic information. Income inequality was measured with the Gini index, a national-level indicator; the United Nations human development index (HDI) measured overall country development. Country-level and multilevel linear regression models were utilized to study the associations. We found that moderately developed countries had the lowest adjusted prevalence of MDE followed by high and low developed countries. The Gini index was positively associated with major depressive episodes, but only among high HDI countries. After adjusting for age, gender, marital status, education and HDI, the multilevel prevalence ratio indicated a 4% increase in risk of MDE for a person living in a country associated with a 1% increment in income equality. This finding means, for example, that comparing two highly developed countries, one with low income inequality (Gini=0.25) with another with high income inequality (Gini=0.39), one would expect to see an increase in the prevalence of MDE from 4.0% to 6.2%. These findings raise important questions about the role of income inequality on social forces that can lead to depression.