Using the 2002 World Health Survey, we examine the association between welfare state regimes, gender and mental health among 26 countries classified into seven distinct regimes: Conservative, Southeast Asian, Eastern European, Latin American, Liberal, Southern/Ex-dictatorship, and Social Democratic. A two-level hierarchical model found that the odds of experiencing a brief depressive episode in the last 12 months was significantly higher for Southern/Ex- dictatorship countries than for Southeast Asian (odds ratio (OR) = 0.12, 95% confidence interval (CI) 0.05-0.27) and Eastern European (OR = 0.36, 95% CI 0.22-0.58) regimes after controlling for gender, age, education, marital status, and economic development. In adjusted interaction models, compared to Southern/Ex-dictatorship males (reference category), the odds ratios of depression were significantly lower among Southeast Asian males (OR = 0.16, 95% CI 0.08-0.34) and females (OR = 0.23, 95% CI 0.10-0.53) and Eastern European males (OR = 0.41, 95% CI 0.26-0.63) and significantly higher among females in Liberal (OR = 2.00, 95% CI 1.14-3.49) and Southern (OR = 2.42, 95% CI 1.86-3.15) regimes. Our results highlight the importance of incorporating middle-income countries into comparative welfare regime research and testing for interactions between welfare regimes and gender on mental health.