This paper investigates the association between mental health and socioeconomic status and assesses the extent to which the correlates of depression change over the life cycle. Mean depression scores for South Africans are markedly higher than those found in other countries. There are large differences in depression between population groups. For both men and women, sixty percent of the gap between Africans and whites can be explained by their socioeconomic status. Household expenditure per member and the number of assets owned by the household are significant negative correlates of depression, as is educational attainment. Reporting that one is on the lowest rung of the socioeconomic status ladder, or that children in the household are often hungry, is associated with reporting more depressive symptoms. Adults report more symptoms of depression and anxiety at older ages, with the most dramatic increase occurring between young adulthood and middle adulthood. For the African sub-sample, this can be explained in part by prime-age and older adults being more troubled by poverty.