In this issue of the Journal, Baranyi et al. (Am J Epidemiol. 2019;000(00):000-000) examine the longitudinal associations of perceived neighborhood disorder and social cohesion with depressive symptoms among persons aged 50 years or more in 16 different countries. An important contribution of their article is that they study how neighborhood-level social capital relates to depression in different welfare-state contexts. Although the authors provide empirical evidence for some significant differences between welfare states in the relationship between social capital and depression, they say little about potential explanations. In this commentary, I draw attention to welfare-state theory and how it could provide us with a greater understanding of Baranyi et al.'s findings. I also discuss the potential downsides of grouping countries into welfare regimes. I primarily focus on the associations between social cohesion and depression, as these associations were generally stronger than those for neighborhood disorder and depression. Finally, I provide some suggestions for future research within the field and discuss whether the findings could be used to guide policies aimed at increasing social cohesion and health.