Analyzing nationally representative survey data collected in the United States in 2014 (n?=?1,932), we formulate and test a novel explanation for the educational gradient in depressive symptoms. We theorize that status as cultural capital drives this gradient in addition to well-established economic and social factors, via the feelings of cultural entitlement it inspires. Therefore, we use structural equation modeling to decompose the education effect. We demonstrate that in addition to economic (job security and income) and social factors (embeddedness in the neighborhood), cultural capital indeed accounts for the educational gradient in depressive symptoms via cultural entitlement. We conclude that for understanding social gradients in mental health it is vital to be sensitive for the cultural mechanisms that status as cultural capital can inspire. Based on our findings we propose suggestions for further research.