This article uses an intersectionality lens to explore how experiences of race, gender, sexuality, class and their intersections are associated with depression and unmet need for mental healthcare in a population of 704 women and transgender/gender liminal people from Ontario, Canada. A survey collecting demographic information, information about mental health and use of mental healthcare services, and data for the Everyday Discrimination Scale and the PHQ-9 Questionnaire for Depression was completed by 704 people via Internet or pen-and-paper between June 2011 and June 2012. Bivariate and regression analyses were conducted to assess group differences in depression and discrimination experiences, and predictors of depression and unmet need for mental healthcare services. Analyses revealed that race, gender, class and sexuality all corresponded to significant differences in exposure to discrimination, experiences of depression and unmet needs for mental healthcare. Use of interaction terms to model intersecting identities and exclusion contributed to explained variance in both outcome variables. Everyday discrimination was the strongest predictor of both depression and unmet need for mental healthcare. The results suggest lower income and intersections of race with other marginalised identities are associated with more depression and unmet need for mental healthcare; however, discrimination is the factor that contributes the most to those vulnerabilities. Future research can build on intersectionality theory by foregrounding the role of structural inequities and discrimination in promoting poor mental health and barriers to healthcare.