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Research on depression among older adults has begun to take a contextual approach. This study advances scholarship by examining the relevance of neighborhood attributes for individual depression in the case of China. Using data from the China Health and Retirement Longitudinal Study (CHARLS 2011), a nationally representative survey of Chinese aged 45 or older, multi-level linear regression results suggest that the protective effect of education goes beyond individuals and extends to the neighborhood level, but great variation exists between rural and urban neighborhoods. Net of individual characteristics and other neighborhood factors, residents living in rural neighborhoods fare much worse with more depressive symptoms than their urban counterparts. Moreover, higher proportions of high school graduates in rural neighborhoods are found to be associated with decreased levels of depressive symptoms, while it is not the case for residents in urban communities. These effects persist even after taking into account individuals’ selective residential mobility between different neighborhoods using the strategy of propensity score weighting. Therefore, we argue for more programs focusing on improving neighborhood environment as well as targeting at individuals.