Research suggests that income inequality may detrimentally affect mental health. We examined the relationship between district-level income inequality and depressive symptoms among individuals in South Africa—one of the most unequal countries in the world—using longitudinal data from Wave 1 (2008) and Wave 3 (2012) of the National Income Dynamics Study. Depressive symptoms were measured using the Center for Epidemiological Studies of Depression Short Form while district Gini coefficients were estimated from census and survey sources. Age, African population group, being single, being female, and having lower household income were independently associated with higher depressive symptoms. However, in longitudinal, fixed-effects regression models controlling for several factors, district-level Gini coefficients were not significantly associated with depressive symptoms scores. Our results do not support the hypothesis of a causal link between income inequality and depressive symptoms in the short-run. Possible explanations include the high underlying levels of inequality in all districts, or potential lags in the effect of inequality on depression.