Past research has provided evidence of the role of personal characteristics as risk factors for depression. However, few researches examined jointly the impact of each characteristic and whether country attributes change the probability of being depressed. This is due to the use of single-country databases. Our aim is to extend previous findings by employing a much larger dataset and including the above-mentioned country effects. We estimate probit models with country effects and we also explore linkages between specific environmental factors and depression. The dataset for this research comes from the 2007 GALLUP Public Opinion Poll that allows us to consider a large and widely heterogeneous set of micro-data. Findings indicate that depression is positively related to being a woman, adulthood, divorce, widowhood, unemployment and low income. Moreover, we provide evidence of the significant association between economic performance and depression. Inequality raises the probability of being depressed, specially, for those living in urban areas. Finally, some population’s characteristics facilitate depression (age distribution and religious affiliation).