Depression contributes substantially to the burden of disease in South Africa. Little is known about how neighbourhoods affect the mental health of the people living in them. Using nationally representative data (N=11,955) from the South African National Income Dynamics Study and the South African Indices of Multiple Deprivation (SAIMD) modelled at small-area level, this study tested associations between neighbourhood-level deprivation and depression, after controlling for individual-level covariates. Results showed a significant positive association between neighbourhood-level deprivation and depression using the composite SAIMD (β = 0.31 (0.15); p=0.04) as well as the separate deprivation domains. Living environment deprivation (β =0.53 (0.16); p=0.001) and employment deprivation (β = 0.38 (0.13); p=0.004), respectively, were the two most salient domains in predicting this relationship. Findings supported the hypothesis that there is a positive association between living in a more deprived neighbourhood and depression, even after controlling for individual-level covariates. This study suggests that alleviating structural poverty could reduce the burden of depression in South Africa.