OBJECTIVES: To investigate the influence of country of residence on depression and well-being among older Europeans, after establishing the between-country measurement invariance of both constructs. METHODS: We used data from a cross-sectional nationally representative population-based sample of older Europeans, the Survey of Health, Ageing, and Retirement in Europe (SHARE). The analysis sample comprised 13,498 older Europeans from nine countries. The EURO-D was used to measure depression, and a well-being outcome was derived from self-report items available in SHARE. The between-country measurement invariance of both mental health outcomes was established using modern psychometric modeling techniques. RESULTS: After adjustment for demographic characteristics and the presence of chronic illness, Spain was the country scoring highest on depression and Denmark highest on well-being. Optimal mental health was associated with higher educational attainment and being married. DISCUSSION: There is considerable between-country heterogeneity in later-life mental health in Europe. The Scandinavian countries, the Netherlands, and Austria, do best (low depression/high well-being), followed by Germany and France, whereas residents of Spain, Italy, and Greece report the worst mental health.