Little is known about the impact of perceived neighborhood danger on military veterans' mental health, a population potentially at higher risk for this experience, or whether interpersonal social support and neighborhood cohesion can help buffer against poor mental health. This study examined: (1) the impact of perceived neighborhood danger on depression and posttraumatic stress disorder (PTSD) among veterans; (2) whether interpersonal social support and neighborhood cohesion can mitigate these effects; and (3) how prior trauma history may interact with these factors. Six moderation models were examined using data from 3049 veterans enrolled in the Longitudinal Investigation of Gender, Health, and Trauma study, a mail‐based survey that oversampled for veterans in high crime neighborhoods. Most notably, results indicated that perceived neighborhood danger was associated with increased depression and PTSD (all p < .001). Interpersonal social support or neighborhood cohesion mitigated the effect of perceived neighborhood danger on veterans' depression, but, only for those without prior trauma (all p < .011). For trauma‐exposed veterans, interpersonal social support was more effective in mitigating the effect of perceived neighborhood danger on depression than neighborhood cohesion (p = .006). Findings help inform interventions to improve the mental health of veterans living in high crime neighborhoods.