Depression is one of the most common health issues in the developed world. Previous research has focused on identifying relationships between depression and political behaviour with the majority of studies reporting a negative effect of depression on voting. Yet previous work has largely overlooked the cognitive foundations of such effect. This paper starts filling this gap by assuming that political efficacy is a precondition for political engagement and functions as a mechanism linking depression and political participation. We build on research from the cognitive aspects of depression, mental illness stigma and on health and political behaviour and hypothesize a negative relationship between depression and political efficacy. We test this expectation comparatively and longitudinally by combining evidence from cross-sectional data (European Social Survey) and panel data (UK Household Longitudinal Study). Our analyses produce four findings. First, individuals with depression exhibit lower levels of internal and external political efficacy. Second, changes in depression status influence only external but not internal political efficacy. Third, we find evidence of an accumulation effect of depression on external political efficacy. Fourth, our mediation analyses show that (particularly external) efficacy mediates the effects of depression on voting intentions leading to lower turnout among citizens with depression.