The objective of the present study was to provide updated data from nine European countries about the impact of social inequalities in the prevalence of common mental disorders. Cross-sectional household survey of a representative sample of the adult general population of Belgium, Bulgaria, Germany, Italy, The Netherlands, Northern Ireland, Portugal, Romania and Spain. In total, 34,395 individuals were included. Social inequalities in 12-month mood, anxiety and alcohol-related disorders were evaluated. In Europe, income seems not to be related to the prevalence of mental disorders. Unemployment and disablement are associated with mental disorders. Lower educational level augments the risk for mood disorders. Living in small (rural) areas decreases the risk for mood disorders and living in urban settings increases it. Northern Ireland, Portugal and Belgium are the countries with the highest risks for mental disorders. Despite some contradictions with previous literature, in Europe there are social inequalities in the prevalence of mental disorders. However, income showed not to be associated with inequalities in mental health. Being younger, unemployed or disabled, with no education or incomplete primary studies, living in urban settings, and in Northern Ireland, Portugal or Belgium were associated to an augmented prevalence of mental disorders. Policy makers could focus on mental health promotion and mental disorders prevention programmes for risk groups such as unemployed/disabled individuals. Support to vulnerable groups (unemployed or those with less education) and mental health literacy can improve European citizens' mental health.