Ample evidence documents the association between individual-level risk factors and mental health status; relatively less is known about associations between features of the context in which individuals live and their mental health. The objective of this study is to assess differences in associations between contextual characteristics of both rural and urban settings and mental health status measured by the mental health component of the SF-12. Using state-representative data, we observed significant rural/urban differences in the association of mental health status with availability of health care resources but no significant associations in other contextual domains. Lack of overlap in contextual associations suggests that contextual influence operates differently in rural and urban settings and that interventions to improve mental health may not translate across settings.