Socio-economically disadvantaged (e.g., less educated) women are at a greater risk of depression compared to less disadvantaged women. However, little is known regarding the factors that may explain socioeconomic inequalities in risk of depression. This study aimed to investigate the contribution of perceived neighbourhood factors in mediating the relationship between education and women's risk of depression. Cross-sectional data were provided by 4,065 women (aged 18-45). Women self-reported their education level, depressive symptoms (CES-D 10), as well as four neighbourhood factors (i.e., interpersonal trust, social cohesion, neighbourhood safety, and aesthetics). Single and multiple mediating analyses were conducted. Clustering by neighbourhood of residence was adjusted by using a robust estimator of variance. Multiple mediating analyses revealed that interpersonal trust was the only neighbourhood characteristic found to partly explain the educational inequalities in women's depressive symptoms. Social cohesion, neighbourhood aesthetics and safety were not found to mediate this relationship. Acknowledging the cross-sectional nature of this study, findings suggest that strategies to promote interpersonal trust within socioeconomically disadvantaged neighbourhoods may help to reduce the educational inequalities in risk of depression amongst women. Further longitudinal and intervention studies are needed to confirm these findings.