Using data from the nationally representative Consultants des Centres d’Examens de Santé (CONSTANCES) study in France (2012–2014; n = 67,057), we assessed the relationship between intergenerational socioeconomic mobility and adult depression (Center for Epidemiological Studies–Depression Scale scores of ≥16 in men or ≥20 in women) and antidepressant use. Socioeconomic position was ascertained by occupational grade (childhood: maternal and paternal measures prior to age 15 years combined; adulthood: participant’s own). We used logistic regression models adjusted for sociodemographic characteristics, parental history of psychiatric disorders and suicide, health behaviors, and chronic health problems. Compared with the reference group (persistently high socioeconomic circumstances), participants in other groups had elevated levels of depression (for upward mobility, multivariate odds ratios (OR) = 1.21; intermediate socioeconomic position, 1.28; downward mobility, 1.66; persistently low socioeconomic position, 1.82). Downward mobility and persistently low socioeconomic position were also associated with elevated odds of antidepressant use (for downward mobility, multivariate OR = 1.24; for persistently low socioeconomic position, 1.36). In supplementary analyses, the association of socioeconomic mobility with depression was stronger in women than in men and among younger participants (aged 18–29 years) than among older participants. Factors that contribute to depression risk and socioeconomic inequalities in this area appeared to be at play already in childhood; this should be acknowledged by clinicians and policymakers.