The aims of the present study are twofold: first, to examine the importance of socio-economic disadvantage, adverse experiences and poor health in childhood on later-life depression by sex and, second, to discern the direct and indirect effects of childhood circumstances using a decomposition technique. Data are derived from Waves 2 and 3 of the Survey of Health, Ageing and Retirement in Europe (SHARE). The methods involve use of logistic regression models and a decomposition approach. The findings indicate that childhood socio-economic status (SES) for both genders and cognitive function for men have only a significant direct effect, consistent with the critical period model. Childhood health for men and poor parental mental health for women are nearly fully mediated by adulthood and later-life circumstances, a fact in line with the pathway model. Poor childhood health, parental excessive alcohol consumption and cognitive function for women and adverse experiences for men have both significant direct and indirect effects, consistent with both models. Mediating factors include poor adulthood and later-life health, socio-economic adversity and stress; adulthood and later-life SES mediate early life health and adverse experiences more strongly for men, whereas stress seems to mediate early life adverse experiences to a greater extent among women. Intervening policies should address childhood adversity while considering the differential vulnerability of men and women.