Background: Nature and extent of welfare regimes and social policies are important determinants of health and health inequalities. This study examines the association of gender and mental wellbeing in European countries and investigates whether type of welfare regime plays a role in this association. Method: Data of 19 366 women and 14 338 men of the third round of the European Quality of Life Survey (2011–12) was used to analyse mental wellbeing, assessed by the World Health Organization 5—Mental Wellbeing Index. Multilevel logistic regression analyses were performed to analyse the association between gender and good mental wellbeing first at country-level, and secondly the between country variation was analysed and welfare regimes were included as explanatory variables. Results: We observed cross-national variation in good mental wellbeing. At country levels gender inequalities in good mental wellbeing were observed in 7 out of 26 countries. In analyses considering all countries together gender inequalities in good mental wellbeing were identified independent of further individual socio-demographic variables and independent of the welfare regimes that people lived in [women vs. men: OR = 0.76; (95% CI = 0.71–0.81)]. Gender inequalities in good mental wellbeing were not modified by welfare regimes. Conclusion: There are cross-national differences in good mental wellbeing between European countries. Gender inequalities with a lower prevalence of good mental wellbeing among women are common in European countries. This study suggests that welfare regimes do not modify these gender inequalities in mental wellbeing.