The current study examines daily stress processes as risk factors for comprised mental health in midlife and later life, specifically for gender differences in depression risk. Using data from the Midlife in the United States (MIDUS) study and the National Study of Daily Experiences (NSDE), we examine (1) gender differences in depression; (2) the prospective effects of differential exposure and affective responses on 10-year depression status; (3) gender differences in daily stress-depression links. Furthermore, we explore whether the protective factor of help-seeking behavior moderates the effects of daily stress on depression. Participants included 1289 (mage = 55; SD = 12; range = 34–83; 56% female) individuals who completed the second waves of MIDUS and the 8-day NSDE daily diary protocol and participated in the third wave of MIDUS approximately 10 years later. Respondents completed assessments of depression and their seeking assistance from a psychiatrist, mental health professional, counselor, or religious leader. Covariate-adjusted logistic regression analyses revealed increased odds of depression among women compared to men, but no significant gender difference after taking daily stress into account. Higher levels of stressor exposure, negative affect, and affective reactivity were associated with increased odds of depression for both men and women. Compared to those who did not engage in help-seeking behavior, those who did had significantly greater odds of depression, and there were asymmetric patterns of daily stress effects across groups. These findings highlight differential exposure, negative affect, and affective responses to daily stress as potentially accessible intervention targets for reducing stress in daily life and mitigating longer-term depression risk during mid- and later life.