This article tests a theoretically driven model of the relationship between work environment, specifically, management practices, and employee mental health, specifically depression. It draws on theoretical perspectives connecting work environment and stress, and on others linking stress and depression. It also examines sense of coherence as a possible mediator of the relationships among work environment, work stress, and depression. Results showed that perceived exposure to employee involvement management practices was related to perceived work stress, sense of coherence, and depression. A model was specified to assess potential causal relationships using LISREL. Results suggested that increased exposure to employee involvement practices was indirectly associated with lower levels of depression through both perceived work stress and sense of coherence. The implications of these findings for management practice are discussed.