PurposeCommon mental disorders are an increasing global public health concern. The least advantaged in society experience a greater burden of mental illness, but inequalities in mental health vary by social, political, and economic contexts. This study investigates whether spending on different types of social protection alters the extent of social inequality in depressive symptoms.MethodsData were obtained from the 2006 and 2012 cross-sectional waves of the European Social Survey, which included 48,397 individuals from 18 European countries. Depressive symptoms were measured using the Centre for Epidemiologic Studies-Depression Scale (CES-D 8). Statistical interactions between country-level social protection spending and individuals’ education level, employment and family status were explored using multilevel regression models.ResultsHigher spending on active labour market programmes was related to narrower inequality in depressive symptoms by education level. Compared to men with high education, the marginal effect of having low education was 1.67 (95 % CI, 1.46–1.87) among men in countries with lower spending and 0.85 (95 % CI, 0.66–1.03) in higher spending countries. Single parents exhibited fewer depressive symptoms, as spending on family policies increased. Little evidence was found for an overall association between spending on unemployment benefits and employment-related inequalities in depressive symptoms, but in 2012, unemployment spending appeared beneficial to mental health among the unemployed.ConclusionsGreater investment in social protection may act to reduce inequalities in depressive symptoms. Reductions in spending levels or increased conditionality may adversely affect the mental health of disadvantaged social groups.Electronic supplementary materialThe online version of this article (doi:10.1007/s00127-016-1223-6) contains supplementary material, which is available to authorized users.