Purpose: Socioeconomic inequality has been associated with higher levels of morbidity and mortality. This study explores the role of absolute and relative deprivation in predicting late-life depression on both individual and country levels. Design and Methods: Country- and individual-level inequality indicators were used in multivariate logistic regression and in relative indexes of inequality. Data obtained from the Survey of Health, Ageing and Retirement in Europe (SHARE, Wave 1, Release 2) included 22,777 men and women (aged 50-104 years) from 10 European countries. Late-life depression was measured using the EURO-D scale and corresponding clinical cut point. Absolute deprivation was measured using gross domestic product and median household income at the country level and socioeconomic status at the individual level. Relative deprivation was measured by Gini coefficients at the country level and educational attainment at the individual level. Results: Rates of depression ranged from 18.10% in Denmark to 36.84% in Spain reflecting a clear north-south gradient. Measures of absolute and relative deprivation were significant in predicting depression at both country and individual levels. Findings suggest that the adverse impact of societal inequality cannot be overcome by increased individual-level or country-level income. Increases in individual-level income did not mitigate the effect of country-level relative deprivation. Implications: Mental health disparities persist throughout later life whereby persons exposed to higher levels of country-level inequality suffer greater morbidity compared with those in countries with less inequality. Cross-national variation in the relationship between inequality and depression illuminates the need for further research.