Aims: Health inequalities studies need to understand how individuals simultaneously defined by several socioeconomic factors differ from others when facing a series of stressors across the lifespan in the risk of major depression (MD). Theoretical efforts, as well as empirical studies, have suggested a pertinent role of social support in mental health outcomes. However, little is known about which forms of social support would alleviate the negative impact of MD vulnerability in self-rated mental health (SRMH) across different socioeconomic groups. We investigated 1) differential associations between lifetime stressors and MD across social groups and 2) explored diverse social support forms mediating the associations between MD vulnerability and SRMH. Methods: Data analyzed were from a large longitudinal population-based cohort. Multilevel analysis of individual heterogeneity and discriminatory accuracy was used to articulate MD vulnerability in different social groups defined by ethnicity, gender, and socioeconomic status (SES). Genetic predispositions were also included in the modeling process. These social groups were then regrouped based on their vulnerability level of MD. Mediation analyses were then applied to identify which social support forms mediate the effect of MD vulnerability on SRMH. Results: Higher levels of stressors were associated with higher risks of MD, and their associations varied by different social groups. The social groups (White men with medium SES or White women with high SES) had the lowest predicted incidence of MD, whereas White women with low SES reported the highest predicted incidence of MD. Two social support forms (guidance and opportunity for nurturance) significantly mediated the indirect paths between MD vulnerability and SRMH. Conclusions: By applying an intersectional lens, the present study provides a novel quantitative instrument for documenting the associations of stress and depression in various social identities. The findings of the study suggest more focused intervention programs and strategies for risk reduction should focus on identified characteristics and pay particular attention to the combined effect of lifetime stressors and discovered social identities.