The associations between volunteering and health outcomes are well established. However, little research has identified the unique association between volunteering and health outcomes over and above the contribution of related social connectedness factors, such as social contact, group or organization membership, and social support provision; variables also implicated in health outcomes. Using large-scale cross-national cross-sectional survey data from the European Social Survey, this study models the association between volunteering and depressive symptoms. Models are conducted with and without adjustment for sociodemographic variables and for a more comprehensive range of social connectedness factors than has been included in previous studies. The findings confirm previous studies demonstrating a link between volunteering and depressive symptoms. However, adjusted analyses indicate that this association can be explained by social connectedness and sociodemographic variables. The findings suggest that studies of volunteering and health outcomes should consider the broader social context in which the volunteer is located, as social connectedness and sociodemographic correlates of volunteering might be more closely tied to mental health than volunteering itself.