The interest in the impact of urban environmental exposures (UrbEEs) on mental health has greatly increased in the last two decades. Researchers have tended to measure said exposures either via objective measurement procedures (eg, air pollution campaigns and geographic information systems computations) or by self-reported techniques such as the use of scales and questionnaires. It has been suggested that studying both the objective features of the environments and people’s perceptions are key to understand environmental determinants of health and might be needed to tailor effective interventions. However, there is little guidance on how to approach this matter, the comparability between objective and subjective accounts of UrbEEs and, more importantly, suitable statistical procedures to deal with the practicalities of this kind of data. In this essay, we aim to build the case for the joint use of both sets of variables in epidemiological studies and propose socioecological models as a valid theoretical framework to accommodate these. In the methodological sphere, we will also review current literature to select examples of (un)appropriate subjective accounts of urban exposures and propose a series of statistical procedures to estimate the total, direct and indirect effects of UrbEEs on mental health and the potential associations between objective and subjective UrbEEs accounts.