Owing to educational expansion, women are now increasingly over-represented in higher education. Faced with diminished opportunities to homogamously match, a rising number of women opt for lower educated partners (female hypogamy). Up to now, patterns of women’s mental health across educational sorting configurations have remained largely undocumented. Compared to those in homogamous couples, hypogamous women may be more vulnerable to stress and poor mental health given a presumably stronger double burden, lower partnership quality, or greater financial strain. In this study, we explore whether hypogamy is linked to greater levels of depression among highly educated women. We also examine contextual variation by looking at the effect of three dimensions of gender regimes: women’s educational advantage, family-related social spending, and gender pay gap. The study investigates women’s depression in 69 country-period clusters across 27 countries (N = 9,659) via a series of multilevel linear regression models drawing on data from three rounds of the European Social Survey (2006, 2012, and 2014). Results confirmed that women in hypogamous unions were more depressed than those in homogamous couples, largely due to greater economic insecurity. We also found that the mental health disadvantage of hypogamous women, especially when married, faded in contexts that institutionally and economically promoted gender equality and female empowerment.