Little is known about factors associated with mental health problems (MHP) of the elderly in socioeconomically deprived neighbourhoods, and comparisons between Central European and Western European countries on this topic are lacking. We examined whether MHP occurred more frequently in deprived neighbourhoods and among deprived people. Next, we examined whether the association of MHP with area deprivation differed by country and whether this could be explained by the socioeconomic (SE) characteristics of the residents. We obtained data on non-institutionalized residents aged 65 years and above from the EU-FP7: EURO-URHIS 2 project from Slovak ( N = 665, response rate 44.0%) and Dutch cities ( N = 795, response rate 50.2%). An elevated score on General Health Questionnaire-12 (≥2) indicated MHP. Education and household income with financial strain were used as measures of individual SE status. We employed multilevel logistic regression. Overall rates of MHP were significantly higher in Slovakia (40.6%) than in the Netherlands (30.6%). The neighbourhood unemployment rate was not associated with the mental health of elderly in either country. Rates of MHP were significantly higher among elderly with low and medium income [odds ratio (OR) = 1.75, 95% confidence interval (CI) = 1.16-2.62; OR = 1.64, 95% CI = 1.12-2.41, respectively] and financial strain (OR = 2.26, 95% CI = 1.56-3.28) when compared with those with high income and no strain, respectively. Individual-level SE characteristics explained differences between the two countries. The risk of MHP among the elderly is associated with their individual-level SE position but not with neighbourhood deprivation in both Slovakia and the Netherlands.