Evidence is accumulating of the negative impact of the COVID-19 pandemic and related public health measures on mental health. In this emergent field, there has been little research into the role of risk perception on depressive symptoms and the contribution of health-care resources to model risk perception and mental health. The aim of this paper is to describe the relationship between individual-level perception of risk and depression, controlling for a set of confounders and for country-level heterogeneity. A cross-sectional and observational online survey was conducted using a non-probability snowball sampling technique. We use data on 11,340 respondents, living in six European countries (Italy, Sweden, United Kingdom, France, Poland, Czech Republic) who completed survey questionnaires during the first months of the pandemic. We used a fixed-effect approach, which included individual and macro-level variables. The findings suggest that a high proportion of people suffering from depression and heightened risk perception is positively associated with reporting depressive symptoms, even if this relationship varies significantly between countries. Moreover, the association is moderated by contextual factors including health-care expenditure as a percentage of Gross Domestic Product, hospital beds for acute care, and number of medical specialists per head of population. Investment in health care offers a concrete means of protecting the mental health of a population living under pandemic restrictions.