The objective of our study was to assess the impact of regional living conditions on the Russian population’s mental health. For the analysis, we used data from the cross-sectional stage of a 2013–2014 study, “Epidemiology of Cardiovascular Diseases in the Regions of the Russian Federation (ESSE-RF)”. The final sample included 18,021 men and women 25–64 years of age from 11 regions of Russia. Using principal component analysis, we performed an integral simultaneous assessment of stress, anxiety, and depression. To describe the regional living conditions, we utilized five regional indices, which were computed from publicly available data of the Federal State Statistics Service of Russia. Overall, mental health indicators were improved, on the one hand, with the deterioration of social conditions and an aggravation of the demographic depression in the region, but on the other hand, they were improved with an increase in economic and industrial development, along with economic inequality among the population. In addition, the impact of regional living conditions on mental health increased with a higher individual wealth. The obtained results provided new fundamental knowledge on the impact of the living environment on health, using the case study of the Russian population, which has been little studied in this regard.