This study explores country- and gender-stratified educational differences in depression among older adults from 10 European countries. We examine inequalities in both absolute (prevalence differences) and relative (odds ratios) terms and in bivariate and multivariate models. We use cross-sectional, nationally representative data from the generations and gender survey. The analysis comprises 27,331 Europeans aged 60–80. Depression is measured with a seven-item version of the Center for Epidemiologic Studies Depression scale. Findings show considerable between-country heterogeneity in late-life depression. An East–West gradient is evident, with rates of depression up to three times higher in Eastern European than in Scandinavian countries. Rates are about twice as high among women than men in all countries. Findings reveal marked absolute educational gaps in depression in all countries, yet the gaps are larger in weaker welfare states. This pattern is less pronounced for the relative inequalities, especially for women. Some countries observe similar relative inequalities but vastly different absolute inequalities. We argue that the absolute differences are more important for social policy development and evaluation. Educational gradients in depression are strongly mediated by individual-level health and financial variables. Socioeconomic variation in late-life depression is greater in countries with poorer economic development and welfare programs.