The positive relationship between socioeconomic status (SES) and health is well established in Western societies. However, while research mainly focuses on SES measures such as education and income, these measures may not completely capture the characteristics of social stratification in China. In the socio-historical context of China, for example, the work unit sector is a crucial SES factor. Yet, few health studies have paid attention to unique SES factors in China. Furthermore, women generally report worse mental health than men, but it is unclear whether this gender gap could be influenced by SES. In this article, using data from the China Health and Retirement Longitudinal Study, we (1) expand SES measures to explore the impact of the work unit sector and use other SES measures, including Communist Party of China (CPC) membership and hukou (household registration) status, to examine the relationship between SES and depression and (2) investigate whether SES could modify the relationship between gender and depression. We find that all the SES measures negatively predict the depression symptoms of elderly individuals. We also find that women on average report higher depressive symptom scores than men. However, the gender differences in depressive symptom scores are smaller among elderly individuals with higher SES than among those with lower SES. We demonstrate that the work unit sector and CPC membership are crucial SES factors affecting the mental health of elderly Chinese individuals. Moreover, we show that the gender gap in depression could vary by SES, suggesting that women might benefit more from obtaining higher SES.