Low socioeconomic status (SES) is generally associated with high psychiatric morbidity, more disability, and poorer access to health care. Among psychiatric disorders, depression exhibits a more controversial association with SES. The authors carried out a meta-analysis to evaluate the magnitude, shape, and modifiers of such an association. The search found 51 prevalence studies, five incidence studies, and four persistence studies meeting the criteria. A random effects model was applied to the odds ratio of the lowest SES group compared with the highest, and meta-regression was used to assess the dose-response relation and the influence of covariates. Results indicated that low-SES individuals had higher odds of being depressed (odds ratio = 1.81, p < 0.001), but the odds of a new episode (odds ratio = 1.24, p = 0.004) were lower than the odds of persisting depression (odds ratio = 2.06, p < 0.001). A dose-response relation was observed for education and income. Socioeconomic inequality in depression is heterogeneous and varies according to the way psychiatric disorder is measured, to the definition and measurement of SES, and to contextual features such as region and time. Nonetheless, the authors found compelling evidence for socioeconomic inequality in depression. Strategies for tackling inequality in depression are needed, especially in relation to the course of the disorder.