This study used data from wave four of the United Kingdom (U.K.) Millennium Cohort Study to examine whether there is an individual (i.e., maternal education) and area-level social disadvantage (i.e., neighborhood deprivation) gradient to difficulties in social-emotional well-being (SEW) in 7-year-old English children. We then investigated to what extent maternal psychological distress (Kessler 6 score) explains the relationship between social disadvantage indicators and boys’ and girls’ SEW difficulties. Subjects consisted of 3661 child–mother dyads (1804 boys and 1857 girls). Results discerned gender differences in the effect social disadvantage indicators have on child SEW difficulties. Maternal education had a comparable effect on boys’ and girls’ SEW difficulties, but a steeper neighborhood deprivation gradient was evident for boys’ SEW difficulties compared to girls’ SEW difficulties. The effect of each social disadvantage indicator on boys’ and girls’ SEW difficulties was for most part direct and strong (p ≤ 0.001) rather than through maternal psychological distress, suggesting that the theoretical framework was incomplete. Here we demonstrate that where children are positioned on the social disadvantage gradient matters greatly to their SEW. Improving the living conditions and health of mothers with psychological distress may offer a pathway to improve child SEW.