One of the most consistent findings in the social epidemiology of mental health is the gender gap in depression. Depression is approximately twice as prevalent among women as it is among men. However, the absence of comparable data hampers cross-national comparisons of the prevalence of depression in general populations. Using information about the frequency and severity of depressive symptoms from the third wave of the European Social Survey (ESS-3), we are able to fill the gap the absence of comparable data leaves. In the ESS-3, depression is measured with an eight-item version of the Center for Epidemiological Studies-Depression Scale. In the current study, we examine depression among men and women aged 18-75 in 23 European countries. Our results indicate that women report higher levels of depression than men do in all countries, but there is significant cross-national variation in this gender gap. Gender differences in depression are largest in some of the Eastern and Southern European countries and smallest in Ireland, Slovakia and some Nordic countries. Hierarchical linear models show that socioeconomic as well as family-related factors moderate the relationship between gender and depression. Lower risk of depression is associated in both genders with marriage and cohabiting with a partner as well as with having a generally good socioeconomic position. In a majority of countries, socioeconomic factors have the strongest association with depression in both men and women. This research contributes new findings, expanding the small existing body of literature that presents highly comparable data on the prevalence of depression in women and men in Europe.