Using multilevel analysis we find that residents of "stressed" neighborhoods have higher levels of depression than residents of less "stressed" neighborhoods. Data for individuals are from two cycles of the Canadian Community Health Survey, a national probability sample of 56,428 adults living in 25 Census Metropolitan Areas in Canada, with linked information about the respondents' census tracts. Depression is measured with the Center for Epidemiologic Studies-Depression Scale Short Form and is based on a cutoff of 4+ symptoms. Factor analysis of census tract characteristics identified two measures of neighborhood chronic stress--residential mobility and material deprivation--and two measures of population structure--ethnic diversity and dependency. After adjustment for individual-level gender, age, education, marital and visible minority status and neighborhood-level ethnic diversity and dependency, a significant contextual effect of neighborhood chronic stress survives. As such, the daily stress of living in a neighborhood where residential mobility and material deprivation prevail is associated with depression. Since gender frames access to personal and social resources, we explored the possibility that women might be more reactive to chronic stressors manifested in higher risk of depression. However, we did not find random variation in depression by gender across neighborhoods.