Mental illness is rising worldwide and is more prevalent among the older population. Among others, socioeconomic status, particularly income, has a bearing on the prevalence of mental health. However, little is known about the underlying mechanism that explains the association between income and mental health. Hence, this study seeks to examine the mediating effect of social capital on the association between income and mental illness. Cross-sectional data consisting of 6651 respondents aged 55 years and above were used in this study. A validated tool known as the Depression, Anxiety and Stress Scale, 21 items (DASS-21) was applied to examine mental illness, namely depression, anxiety, and stress. The Karlson, Holm, and Breen (KHB) method was employed to assess the intervening role of social capital on the association between income and mental illness. Results showed that those who disagreed in trust within the community had the highest partial mediation percentage. Those who disagreed in reciprocity, however, had the lowest partial mediation percentage, which explained the positive association between the middle 40% (M40) of the income group and depression, anxiety, and stress. Overall, the study suggests the need to increase trust and attachment within society to curb the occurrence of depression and anxiety.