Background and objectives: Depression is a serious problem affecting people worldwide, however it more commonly concerns women. Depression reduces the quality of life and, in many cases, leads to suicide. Numerous new biological factors have been demonstrated to have an impact on the pathogenesis of depression, including vitamin D, thyroid hormones, as well as factors related to heart disease. The aim of the study was to assess the impact of serum thyroid stimulating hormone (TSH) and vitamin D concentrations as well as metabolic syndrome on the severity of depression in Polish postmenopausal women from urban and rural areas. Materials and Methods: The study was conducted in 2018–2019 in the Lublin region, Poland, and comprised 396 postmenopausal women (239 living in rural areas and 157 living in urban areas). Metabolic syndrome criteria according to the International Diabetes Federation and Beck Depression Inventory were used, and laboratory blood tests were performed. Results: A significantly higher percentage of the examined rural residents had moderate or severe depression in comparison to the urban ones (p = 0.049). The examined women from rural areas had a significantly higher serum vitamin D concentration in comparison to the urban ones (p < 0.001). The rural residents more commonly had below-normal levels of serum TSH and less commonly had normal levels in comparison to the urban residents. Metabolic syndrome was found in 70% of the rural residents, and that number was significantly lower in the urban ones (22%, p < 0.001). Conclusions: The severity of depression in postmenopausal Polish women was correlated negatively with the serum TSH concentration in women from rural areas. The severity of depression was increased in urban postmenopausal women with hypertension. No correlation of the depression severity with the serum vitamin D concentration or other criteria of metabolic syndrome was found.