This study examines the influence of risk factors on mental well-being at older ages focusing on the level of rurality of the living environment. We used cross-sectional, nationally representative survey data for Catalonia (Spain) from 2015 to 2017 to explain the mental well-being of the population aged 65 years and over. Based on a sample of 2621 individuals, we created a score of current mental well-being using the Short Warwick-Edinburgh Mental Well-being Scale (SWEMWBS). Using logistic regression and non-parametric tests, we identified the sociodemographic, health and lifestyle variables which, in combination with the features of the rural and urban settings of the living space, were associated with poor SWEMWBS scores. Our results reveal that adequate social support is linked to expectations of good mental well-being in later life. Poor self-perceived health and ageing limitations are associated with less deterioration of the well-being for the elderly living in rural areas, whereas living in urban areas is linked to a higher risk of suffering from emotional distress attributable to economic difficulties or low educational attainment. Incentivizing older people to live in rural environments could result in greater well-being in the last stages of life; appropriate prospective studies are needed to test this positive outcome.