Background Although ageing populations are increasingly residing in cities, it is unknown whether depression inequalities are moderated by urbanicity degree. We estimated gender, marital and educational inequalities in depressive symptoms among older European and Canadian adults, and examined whether higher levels of urbanicity, captured by population density, heightened these inequalities. Methods Harmonised cross-sectional data on 97 826 adults aged ≥50 years from eight cohorts were used. Prevalence ratios (PRs) were calculated for probable depression, depressed affect and depressive symptom severity by gender, marital status and education within each cohort, and combined using random-effects meta-analysis. Using a subsample of 73 123 adults from six cohorts with available data on population density, we tested moderating effects measured by the number of residents per square kilometre. Results The pooled PRs for probable depression by female gender, unmarried or non-cohabitating status and low education were 1.48 (95% CI 1.28 to 1.72), 1.44 (95% CI 1.29 to 1.61) and 1.29 (95% CI 1.18 to 1.41), respectively. PRs for depressed affect and high symptom severity were broadly similar. Except for one Dutch cohort with findings in an unexpected direction, there was no evidence that population density modified depressive symptom inequalities. Conclusions Despite cross-cohort variation in gender, marital status and educational inequalities in depressive symptoms, there was weak evidence that these inequalities differed by levels of population density.