Given population ageing and the emphasis on in-home care, more working-age adults are facing the demands of providing unpaid care to the elderly with potential implications for their own well-being. Such effects likely vary across Europe because care is differently organized with a differing emphasis on public support, dependence on family, and orientation toward gender equality. We studied the relationship between unpaid caregiving for elderly parents and the psychological well-being of older working-age (50–64) men and women by analysing data from the Survey of Health, Retirement, and Ageing in Europe (SHARE), covering 18 countries between 2004 and 2020 (N = 24,338), using ordinary least squares (OLS). We examined risk of depression by caregiving intensity and tested whether coresidence mediated outcomes. Men and women providing care to parents experience important psychological well-being losses across Europe, especially when caregiving is intensive. A heavier caregiving burden associated with coresidence explains a regime gradient in depression, not least for women in Southern Europe. Results highlight the spillover costs of unpaid caregiving across Europe and the need to address caregiver psychological well-being, especially in contexts where state support for elder care is low and coresidence is common.