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In the present study, the authors examine the extent to which depressive feelings vary across religious denominations and how this relates to the religious context. We apply a multilevel model using data from the sixth (2012) and seventh (2014) wave of the European Social Surveys, comparing 268 regions within 28 European countries. We find that religious minorities report more depressive feelings than non-minorities, except in regions with a majority of Muslims. A higher likelihood to experience discrimination, as well as the higher pr