Depression is highly clustered among people with low socioeconomic status (SES). Improved environments are known to be potentially beneficial, but the extent to which environments alleviate socioeconomic inequalities in depression remains unclear. Based on 334,536 UK Biobank participants, we quantified mediating roles of green space and air pollution in association between SES and depression, and examined interactive and joint relationships between SES and environments on depression. Co-improvements in green space and air quality significantly mediated 2.7% of this association. Interaction analysis indicated stronger environmental benefits for low-SES populations. Joint analysis revealed that low-SES adults in favorable environments had a 14.6% lower depression risk than medium-SES individuals in unfavorable conditions, with more pronounced effects among females (16.4%) and older adults (9.8%). Our findings emphasize mitigating role of upstream environmental factors involving green space and air quality in tackling socioeconomic inequalities in depression, particularly for vulnerable populations like the elderly and females.