Mental health (MH) has a relevant burden on the health of populations. Common MH disorders (anxiety and non-psychotic depression) are well associated to socioeconomic individual and neighborhood characteristics, but little is known about the influence of urban structure. We analyzed among a Turin (Northwest Italy) urban population the association at area level of different urban structure characteristics (density, accessibility by public transport, accessibility to services, green and public spaces) and consumption of antidepressants. Estimates were adjusted by individual socio-demographic variables (education, housing tenure, employment) and contextual social environment (SE) variables (social and physical disorder, crime rates). Data was extracted from the Turin Longitudinal Study (TLS)—a census-based cohort study following up prospectively the mortality and morbidity of the population. As expected, individual characteristics show the strongest association with antidepressant drug consumption, while among built environment (BE) indicators accessibility by public transport and urban density only are associated to MH, being slightly protective factors. Results from this study, in agreement with previous literature, suggest that BE has a stronger effect on MH for people who spend more time in the neighborhood. Therefore, this research suggests that good accessibility to public transport, as well as a dense urban structure (versus sprawl), could contribute to reduced risk of depression, especially for women and elderly, by increasing opportunities to move around and have an active social life.