The idea that socioeconomic differences are a "fundamental cause" of health and well-being is the basis for large volumes of research. However, one of the challenges in this area is that of linking socioeconomic positions to etiological mechanisms in theoretically informative ways. The situation is doubly challenging because the expression and meaning of socioeconomic positions and the mechanisms they activate change over time. Focusing on depression and applying mediation analysis to data from a large multinational sample from European countries, we find strong support for a three-stage model where occupational differences are largely mediated by exposure to precarious work, which itself is mediated by social marginality. The model is largely robust across welfare state regimes. Ultimately, the research extends fundamental cause perspectives by highlighting connections between "old" and "new" dimensions of socioeconomic status and the social and social psychological sequelae that connect them to psychological well-being.