The environment has direct and indirect effects on mental health. Previous studies acknowledge that the poor design of communities and social environments leads to increased psychological distress, but methodological issues make it difficult to draw clear conclusions. Recent public health, leisure and recreation studies have tried to determine the relationship between recreation opportunities and mental health. However, previous studies have heavily focused on individual contexts rather than national or regional levels; this is a major limitation. It is difficult to reflect the characteristics of community environments effectively with such limited studies, because social environments and infrastructure should be analyzed using a spatial perspective that goes beyond an individual’s behavioral patterns. Other limitations include lack of socioeconomic context and appropriate data to represent the characteristics of a local community and its environment. To date, very few studies have tested the spatial relationships between mental health and recreation opportunities on a national level, while controlling for a variety of competing explanations (e.g., the social determinants of mental health). To address these gaps, this study used multi-level spatial data combined with various sources to: (1) identify variables that contribute to spatial disparities of mental health; (2) examine how selected variables influence spatial mental health disparities using a generalized linear model (GLM); (3) specify the spatial variation of the relationships between recreation opportunities and mental health in the continental U.S. using geographically weighted regression (GWR). The findings suggest that multiple factors associated with poor mental health days, particularly walkable access to local parks, showed the strongest explanatory power in both the GLM and GWR models. In addition, negative relationships were found with educational attainment, racial/ethnic dynamics, and lower levels of urbanization, while positive relationships were found with poverty rate and unemployment in the GLM. Finally, the GWR model detected differences in the strength and direction of associations for 3109 counties. These results may address the gaps in previous studies that focused on individual-level scales and did not include a spatial context.