This study estimates the association between temperature and self-reported mental health. We match individual-level mental health data for over three million Americans between 1993 and 2010 to historical daily weather information. We exploit the random fluctuations in temperature over time within counties to identify its effect on a 30-day measure of self-reported mental health. Compared to the temperature range of 60-70°F, cooler days in the past month reduce the probability of reporting days of bad mental health while hotter days increase this probability. We also find a salience effect: cooler days have an immediate effect, whereas hotter days tend to matter most after about 10 days. Using our estimates, we calculate the willingness to pay to avoid an additional hot day in terms of its impact on self-reported mental health.