Background. The protective effects of religion against late life depression may depend on the broader sociocultural environment. This paper examines whether the prevailing religious climate is related to cross-cultural differences of depression in elderly Europeans. Methods. Two approaches were employed, using data from the EURODEP collaboration. First, associations were studied between church-attendance, religious denomination and depression at the syndrome level for six EURODEP study centres (five countries, N=8398). Secondly, ecological associations were computed by multi-level analysis between national estimates of religious climate, derived from the European Value Survey and depressive symptoms, for the pooled dataset of 13 EURODEP study centres (11 countries, N=17739). Results. In the first study, depression rates were lower among regular church-attenders, most prominently among Roman Catholics. In the second study, fewer depressive symptoms were found among the female elderly in countries, generally Roman Catholic, with high rates of regular church-attendance. Higher levels of depressive symptoms were found among the male elderly in Protestant countries. Conclusions. Religious practice is associated with less depression in elderly Europeans, both on the individual and the national level. Religious practice, especially when it is embedded within a traditional value-orientation, may facilitate coping with adversity in later life.