The literature reports an association between neighbourhood deprivation and individual depression after adjustment for individual factors. The present paper investigates whether vulnerability to neighbourhood features is influenced by individual "activity space" (i.e., the space within which people move about or travel in the course of their daily activities). It can be assumed that a deprived residential environment can exert a stronger influence on the mental health of people whose activity space is limited to their neighbourhood of residence, since their exposure to their neighbourhood would be greater. Moreover, we studied the relationship between activity space size and depression. A limited activity space could indeed reflect spatial and social confinement and thus be associated with a higher risk of being depressed, or, conversely, it could be linked to a deep attachment to the neighbourhood of residence and thus be associated with a lower risk of being depressed. Multilevel logistic regression analyses of a representative sample consisting of 3011 inhabitants surveyed in 2005 in the Paris, France metropolitan area and nested within 50 census blocks showed, after adjusting for individual-level variables, that people living in deprived neighbourhoods were significantly more depressed that those living in more advantaged neighbourhoods. We also observed a statistically significant cross-level interaction between activity space and neighbourhood deprivation, as they relate to depression. Living in a deprived neighbourhood had a stronger and statistically significant effect on depression in people whose activity space was limited to their neighbourhood than in those whose daily travels extended beyond it. In addition, a limited activity space appeared to be a protective factor with regard to depression for people living in advantaged neighbourhoods and a risk factor for those living in deprived neighbourhoods. It could therefore be useful to take activity space into consideration more often when studying the social and spatial determinants of depression.