This paper investigates the relationship between individual psychosocial wellbeing and place characteristics in Mexico, using multi-level models and nationally representative survey data. We explore psychosocial wellbeing in terms of self-reported depression symptoms, feelings of sadness and experience of stress; analyse place characteristics at the level of municipality and at the level of locality; and investigate individual-level heterogeneities in the relationship by gender, age, wealth and employment status. Our results suggest the existence of a significant relationship between individual psychosocial wellbeing and place characteristics, and provide evidence of heterogeneity in how place characteristics affect the psychosocial wellbeing of different groups.