Background: Despite the wealth of literature on social determinants of mental health, less is known about the intersection of these determinants. Using a nationally representative sample, this study aimed to study separate, additive, and multiplicative effects of race, gender, and SES on the risk of major depressive episode (MDE) among American adults. Methods: National Survey of American Life (NSAL) included 3570 African Americans and 891 Whites. Race, gender, socioeconomic status (SES, household income, education, employment, and marital status) were independent variables. Twelve-month MDE was measured by the Composite International Diagnostic Interview (CIDI). A series of logistic regressions were used to analyze the data. Results: In the pooled sample, race and household income, but not gender, education, employment, and marital status were associated with 12-month MDE. Gender interacted with the effects of income on MDE, suggesting that the association between household income and MDE is larger for women than men. In race by gender specific models that controlled for other SES indicators, high income was protective for White women, education was protective for African American women, and high income became a risk factor for African American men. High income did not show a risk effect for African American men in the absence of other SES indicators. Conclusions: Findings suggest that race, gender, and class interact on how SES indicators, such as education or income, become a protective or a risk factor for MDE among American Adults. When the outcome is MDE, White women benefit more from income, African American women gain from education, however, the residual effect of high income (above and beyond education, employment, and marital status) may become a risk factor for African American men.