Depression is the most common mental illness worldwide, and although aspects of the social environment, including social capital, have been linked to depression, the underlying mechanisms are not well understood. In this study, we assessed whether (1) network and psychosocial dimensions of individual social capital were each associated with depressive symptoms, and (2) the association varied according to the location of the capital, i.e., outside or inside a person's neighbourhood. The current study used data from the Montreal Neighbourhood Networks and Healthy Ageing Study (MoNNET-HA). MoNNET-HA consisted of a representative sample of 2707 adults from 300 census tracts in the Montreal Metropolitan Area. The CESD-10 instrument was used to assess the presence of depressive symptoms with a cut off of more than three symptoms used to indicate depressive symptomatology. Name and position generator instruments were used to assess the existence of a core tie, core tie diversity, and network social capital both inside and outside the neighbourhood. Questions on generalized trust, trust in neighbours, and neighbourhood cohesion were used to assess psychosocial dimensions of social capital inside and outside the neighbourhood. Community and general group participation were also included as structural dimensions of social capital. Analyses adjusted for a range of socio-demographic and economic characteristics. Results from multilevel logistic regressions indicated that the core tie diversity as well as the psychosocial dimensions of generalized trust, trust in neighbours, and perceptions of neighbourhood cohesion reduced the likelihood of depressive symptoms in urban-dwelling adults. Network and psychosocial components of social capital within neighbourhood contexts should be considered when examining social capital and depressive symptoms.