Research findings on the relationship between caring and health are mixed and call for a more nuanced analysis of the care situation. This study investigates cross-sectional and longitudinal associations between caring and depressive symptoms, considering location and type of care. Data come from the Survey of Health Ageing and Retirement in Europe (SHARE), collected in wave 6 (from 2015 to 2016) and wave 8 (from 2019 to 2020). Cross-sectional data were available for 52.186 respondents in 18 countries. Of these, 18.659 were free of elevated depressive symptoms in wave 6 and were used to investigate incident depression in the longitudinal analyses. We distinguished between personal care, practical help, and paperwork, and were able to compare in-home and outside-home personal care. For both men and women, findings indicate that in-home personal care is associated with an increased risk of reporting and developing depressive symptoms (after controlling for age, country affiliation, education, wealth, employment situation, and functional limitations). Cross-sectional, but not longitudinal, associations were also found for outside-home care in terms of personal care or paperwork, but not for practical help. Additionally, women and disadvantaged population groups were more likely to provide in-home care, but less likely to provide outside care (regardless of the type). Overall, the results highlight that different locations and types of care are associated differently with mental health. Findings also underscore the need for interventions specifically tailored to support disadvantaged populations who provide in-home care, addressing the unique challenges they face.