Abstract The association between socioeconomic disadvantage and increased risk of depressive symptoms in adulthood is well established. We tested 1) the contribution of early exposure to neighborhood socioeconomic disadvantage to later depressive symptoms throughout life, 2) the persistence of the potential association between early exposure and depressive symptoms, and 3) the contributions of other known risk factors to the association. Data were collected from the Young Finns Study, a prospective, population-based 32-year follow-up study that included participants aged 3–18 years at baseline in 1980. Participants were followed up with repeated measurements of depressive symptoms between 1992 and 2012 (n = 2,788) and linked to national grid data on neighborhood disadvantage via residential addresses. We examined the associations in mixed models separately for the 5-, 10-, 15-, and 20-year follow-ups. Living in a disadvantaged neighborhood during childhood and adolescence was associated with a higher level of depressive symptoms in adulthood during all follow-up periods (β = 0.07, P = 0.001) than living in a nondisadvantaged area. Individual adulthood socioeconomic status mediated the associations. These findings suggest that living in a socioeconomically disadvantaged area during childhood and adolescence has a long-lasting negative association with mental health irrespective of family-related risks, partially due to socioeconomic adversity later in life.