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Fundamental Cause Theory (FCT) emphasizes flexible resources that allow advantaged groups to maintain health advantages across changing contexts, yet the more hidden social-psychological mechanisms through which inequality becomes embodied remain less understood. This study extends FCT by theorizing structural thinking—beliefs that inequality reflects systemic and historical forces rather than individual deficiencies—as a flexible interpretive resource that conditions whether disadvantage is internalized as moral failure. We argue that moral-emotional internalization, particularly shame tied to socioeconomic position, represents a key pathway linking racialized inequality to depressive symptoms, and that structural thinking may function as a countervailing mechanism, particularly among Black Americans whose historical and ongoing exposure to institutional discrimination renders structural explanations more salient. Using data from the 2022 Healthcare Discrimination Study, a national probability sample of U.S. adults (N = 1,209), we estimate structural equation models with latent constructs for moral emotions and depressive symptoms (PHQ-8). Moral-emotional shame strongly predicts depressive symptoms and mediates the association between Black identity and depression. Income and education show protective indirect effects through reduced internalization. Structural thinking operates in racially differentiated ways: among non-Black respondents it is associated with higher shame, whereas among Black respondents it attenuates—and may reverse—this association. These findings identify interpretive frameworks as flexible resources within FCT and clarify moral-emotional pathways linking inequality to mental health disparities.