Aim Recently, interest has grown in the association between contextual factors and health outcomes. This study questions whether mental health complaints vary according to the socio-economic characteristics of the residential area where people live. The gender-specific patterns are studied. Methods Complaints of depression and generalized anxiety were measured by means of the relevant subscales of the Symptoms Checklist 90-Revised. Multilevel models were estimated with PASW statistics 18, based on a unique dataset, constructed by merging data from the Belgian Health Interview Surveys from 2001 and 2004 with data from 264 municipalities derived from Statistics Belgium and the General Socio-Economic Survey. Main findings The results of this exploratory study indicate that the local unemployment rate is associated with complaints of depression among women. Conclusion This study suggests that policy should approach the male and female population differently when implementing mental health prevention campaigns.