Background The study of the health effects of perceived discrimination based on ethnic and social traits has a long-standing and widespread tradition in epidemiological research, but less attention has been paid to the study of multiple discrimination, particularly its effects on mental health. The present work aims to analyse the association between multiple discrimination and depressive symptoms in Europe, and the impact of contextual socioeconomic circumstances on this relationship. Methods In this study, data from the 7th Round of the European Social Survey was used. Given that the outcome variable, CES-D8, is a depression scale from 0 to 24 possible values and the hierarchical organisation of individuals (level-1 units) clustered within countries (level-2 units), a linear multilevel model was carried out. Results Our findings suggest that multiple discrimination increases our risk of suffering depressive disorder, but in addition this work provides an important step forward to explain and understand how the relationship between multiple discrimination and depression might vary depending the socioeconomic context. In particular, we can observe that differences in the prevalence of depressive symptoms along multiple discrimination levels decrease as GDP per capita increases among European countries. Conclusion This study is relevant since provides new evidence on how the association between multiple discrimination and depression operates at the micro and macro-level context, which is fundamental to understand how macro-economic fluctuations of countries may determine depressive disorders through the effect of single and combined forms of discrimination.