Our surroundings affect our mood, our recovery from stress, our behavior, and, ultimately, our mental health. Understanding how our surroundings influence mental health is central to creating healthy cities. However, the traditional observational analyses now dominant in the psychiatric epidemiology literature are not sufficient to garner such an understanding. Alternative strategies, such as randomizing people to place, randomizing places to change, or harnessing natural experiments that mimic randomized experiments each have their strengths and weaknesses. We discuss these strengths and weaknesses with respect to (1) defining the most relevant scale and characteristics of context, (2) disentangling the effects of context from the effects of individuals' preferences and prior health, and (3) generalizing causal effects beyond the study setting. Promising alternative strategies include creating many small-scale randomized place-based trials, using the deployment of place-based changes over time as natural experiments, and using fluctuations in the changes in our surroundings in combination with emerging data collection technologies to better understand how surroundings influence mood, behavior, and mental health. Improving existing research strategies will require interdisciplinary partnerships between those specialized in mental health, those advancing new methods for place effects on health, and those who seek to optimize the design of local environments.