Loneliness and depression are serious public mental health problems. Meaning in life (MIL) is associated with reduced loneliness and depression. This study aimed to: (1) investigate associations between loneliness, MIL, and depression, differentiated by sex in individuals aged ≥ 50 years, residing in 26 European countries and Israel, and (2) to examine in men and women separately whether MIL mediated the relationship between loneliness and depression. We included 41,372 individuals (23,789 women) who responded to wave 8 of the SHARE project. The variables analyzed were loneliness (UCLA), depression (EURO-D scale), and MIL (CASP-19). The analytical procedures included regression analysis and exploratory mediation analysis. Among men and women, the odds of loneliness increasing depression were 3.6 and 3.3 times higher, respectively. Among men, feeling MIL sometimes or often had odds for reducing depression by 0.53 and 0.21, respectively. In women, feeling MIL sometimes or frequently reduced the odds of depression by 0.37 and 0.19, respectively. Regardless of sex, mediation analyses showed a positive association between loneliness and depression, while MIL was negatively associated with loneliness and depression. MIL partially mediated the association between LON and depression in male and female models by approximately 83.2% and 80.7%, respectively. No differences were found between men's and women's mediation models. Regardless of sex, high levels of MIL seem to be effective in benefiting the mental health of Europeans aged 50 and over. MIL proved to be a significant mediator of the relationship between loneliness and depression, while loneliness and depression strengthened each other.