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There is a growing recognition of the impact of social determinants of mental health (SDoMHs) on people with, or at risk of, developing serious mental illnesses. Yet it is not known how associations of individual SDoMHs with risk for major depressive disorder (MDD) vary and roughly compare with one another. Following PRISMA guidelines, this umbrella review included 26 meta-analyses and systematic reviews that reported odds ratios, effect sizes, and/or pooled prevalence rates of MDD in samples with versus without specified SDoMHs. Childhood emotional, physical, or sexual abuse and neglect; intimate partner violence in females; and food insecurity were significantly associated with increased risk of MDD, with medium effect sizes. Natural disasters, terrorist acts, and military combat during deployment had small-size adverse effects, and homelessness, incarceration, and migration were associated with significantly elevated prevalence of MDD. Conversely, higher levels of parental care were significantly associated with reduced risk of MDD with medium effect sizes. Evidence supports the use of certain interventions at the individual and community level that can reduce the impact of these factors and promote health, although much more research is warranted in this area along with meaningful healthcare and societal policies to accomplish this goal.