Migration is a risk factor for depression, however little is known on how the different migrant integration policies followed by the host countries may influence migrants' depression risk. Using the data from the European Social Survey carried out the period of 2014-2015 and the overall score of the Migrant Integration Policy Index (MIPEX 2015), a selected sample of countries is divided in two group of countries based on whether they follow more or less inclusive integration policies. Natives' attitudes towards migrants and migrants' social and socioeconomic characteristics are tested in relationship with migrants' depression risk for the two groups of countries. Country-level analysis shows that countries with higher depression risk do not necessarily have more negative attitudes towards immigrants. Multivariate logistic regression analysis indicates that for both groups of countries the most prominent predictor for depression is permanent medical conditions and disability, followed by low socioeconomic conditions and low social support. On the other hand, discrimination is a predictor only for the countries following less inclusive integration policies. Lastly, gendered analysis per length of stay for first-generation migrants reveals that different mechanisms influence newly arrived and established immigrants. After-migration processes, and mostly after-migration stress, increase the depression risk for newly arrived immigrants for both groups of countries and genders. However, in the long term, particularly for females that are more vulnerable to depression, less supportive integration policies result in increasing migrants' depressive feelings.