Objectives: The vulnerability paradox refers to the observation that greater vulnerability is associated with higher prevalence of mental disorder at the individual level, but lower prevalence at the country level. The paradox is supported by studies estimating prevalence using the Composite International Diagnostic Interview and by suicide mortality data. However, cross-national studies using single-item measures of subjective well-being find no evidence of a paradox, with vulnerability being associated with lower well-being at both the individual and country levels. These findings suggest the potential usefulness of simple indicators for studying cross-national differences. In this study, we investigated the vulnerability paradox using cross-national data on the prevalence of three symptoms that indicate depression or anxiety: unhappiness, sadness and worry. Methods: The data on prevalence of unhappiness were taken from 77 countries in the World Values Survey 2017–2020 and data on prevalence of sadness and worry from 142 countries in the Gallup World Poll in 2018. Country vulnerability was measured by the Vulnerability Index and gross domestic product per capita. The data were analyzed using random-effects meta-analysis, with vulnerability measures as moderator variables. Results: For all three symptoms, prevalence was associated with higher Vulnerability Index and lower gross domestic product per capita. When both moderators were entered in meta-regressions, there were significant associations for the Vulnerability Index, but not for gross domestic product per capita. Conclusion: These findings are inconsistent with the vulnerability paradox. They underscore that reducing mental disorders should be a priority in poorer nations and that further economic and social development may be an important contributor to achieving this.