Background: Some UK studies have reported an urban excess in the prevalence of the most common mental disorders of anxiety and depression. Aims: To investigate rural/non-rural differences in the onset and maintenance of episodes of common mental disorders, after adjusting for the characteristics of respondents and their households. Method: A 12-month cohort study of 7659 adults aged 16-74 years living in 4338 private households, nested within 626 electoral wards in England, Wales and Scotland. Common mental disorders were assessed using the General Health Questionnaire (GHQ).Electoral wards were characterised by Office for National Statistics classification and by population density. Data were analysed using multilevel statistical modelling. Results: Rural residents had slightly better mental health than non-rural counterparts. The effects of geographical location on the mental health of participants were neither significantly confounded nor modified by socio-economic status, employment status or household income. Conclusions There are small but statistically significant differences in rates of common mental disorders between urban and rural residents. Quantifying between-place differences using population density alone risks missing important contextual effects on mental health.