This study explores the intricate interplay between gender, occupation, and mental health using data from the 2020 EU-LFS ad hoc module on 38,066 female professionals in Western Europe. We examine their exposure to work-related risks impacting mental health, focusing on variables such as work overload, violence, and challenging client interactions. Our primary objective is to discern how various occupations contribute to distinct experiences of work-induced strains. Key findings challenge the compensating differential theory, according to which the lower wages in female-dominated occupations are compensated by more friendly working conditions, revealing that interactive service-sector jobs pose higher risks to mental well-being. Health professionals, legal-cultural professionals, and teachers are particularly susceptible, with shift and weekend work exacerbating risk exposure to violence and violent behaviors. This study underscores the significance of a “within-gender” perspective, uncovering nuanced occupation-based inequalities for women. It introduces a novel approach to occupational segregation, highlighting the uneven distribution of work-induced strains among different occupations. It also urges to reassess customer-worker relationships and proposes gender-specific measures to alleviate heightened risks to mental well-being for interactive service occupations. In conclusion, this study analyzes the intersection of gender, occupation, and work-induced strains, emphasizing the role of micro-classes in shaping women’s mental health.