Research has shown that mental disorders in working-age individuals are associated with a significant burden of disability, sickness absence, and presenteeism, resulting in lost productivity. This study aims to assess the impact of depressive disorders on the labour markets in the European Union countries, with a particular focus on the disparities between the ‘old’ and ‘new’ EU countries. The study analysed the process of convergence of the burden of depressive disorders among people aged 20–54 in the group of EU-27 countries in the years 1990–2019, using data from the Global Burden of Disease Study 2019. The initial hypothesis of persistent inequalities in the system studied was verified. The study measured years lived with disability (YLD) due to depressive disorders in the working-age population. The analysis revealed that depressive disorders have a significant impact on the highly developed economies of the EU-14 countries. The convergence assessment did not confirm the effect of catching up with more favourable economies over time, and the inequalities observed at the beginning of the analysis period worsened. This study’s results expand upon the existing literature on the consequences of depressive disorders by introducing the perspective of inequalities in the studied area. These inequalities were observed between EU-27 economies with varying levels of socio-economic development.