Background: Decreasing gender differences in mental health are found largely in countries in which the roles of men and women have improved in terms of opportunities for employment, education, child care and other indicators of increasing gender equality. In this study, we examine how European welfare regimes influence this association between mental health and the social roles that men and women occupy. Methods: The EU-World Mental Health data are used, which covers the general population in 10 European countries (n = 37 289); Countries were grouped into four welfare regions: Liberal regime (Northern Ireland), Bismarckian regime (Belgium, Germany, the Netherlands and France), Southern regime (Spain, Italy, Portugal) and Central-Eastern regime (Romania and Bulgaria). The lifetime prevalence of mood, anxiety and alcohol disorders was determined by using the Composite International Diagnostic Interview 3.0. Overall prevalence rates along with odds ratios by means of bivariate logistic regression models are calculated to compare the presence of common mental disorders in women versus men per welfare regime. Results: Overall prevalence of common mental disorders is highest in the Liberal regime and lowest in the Central/Eastern regime. The gender gap in mental disorders is largest in the Southern regime and smallest in the Liberal regime. Marital status and certain employment positions help to explain variation in mental disorders across and within welfare regimes. Conclusion: Most prominent pathways linking gender to mental ill-health being are related to marital status and certain employment positions. However, these pathways also show substantial variation across welfare regimes.