Association studies between social capital and health point out that a high level of social capital can act as a protector for mental health. The growing interest in social risk factors for mental health coincides with the development of social capital research. Higher levels of social capital available through social networks can act as a protector for mental health. This study investigates gender differences in the association between social capital and common mental disorders (CMD) and depression. We analyzed 15,052 participants in the baseline of the Brazilian Longitudinal Study of Adult Health (ELSA-Brasil). CMD and depression were assessed by Clinical Interview Schedule-Revised (CIS-R) and social capital by the Resource Generator scale. We used Logistic regression models stratified by sex. Women with lower social capital in the social support dimension had a greater chance of presenting CMD (OR = 1.36; CI 95%: 1.16–1.60) and depression (OR = 2.07; CI 95%: 1.57–2.72) when compared to women with higher social capital. No association was identified among men, or among women in the “prestige and education” dimension. The differences found between the dimensions of social capital support its multidimensionality, as well as the differences found between sexes, confirm the need to approach gender in its association with mental health.