Evidence for the association between built environment and mental ill health, especially in older population where mental ill health is common, remains inconclusive. We examined the association of roadway distance and urbanicity, measured as percentage of urban land use within 1 km from participants' residence, with mental ill-health in a longitudinal study of community-dwelling older adults in the United States between 2005 and 2006 and 2011–2012. We evaluated perceived stress, depression and anxiety symptoms using the Cohen's Perceived Stress Scale, the Center for Epidemiological Studies – Depression, and the Hospital Anxiety and Depression Scale − anxiety subscale, respectively. Increment in roadway distance was significantly associated with −0.03 point (95% CI: −0.05, −0.01) change in depressive score, with loneliness and PM 2.5 partially mediating the observed associations. Age, gender, race/ethnicity, and physical activity significantly modified the distance-depression association. Anxiety was inversely associated with roadway distance (−0.02; 95% CI: −0.03, 0.00), though the associations became insignificant upon adjusting for road traffic or noise. Urbanicity was significantly associated with 0.29 (95% CI: 0.10, 0.57) point increase in depressive symptoms in multivariable model; the association was partly mediated by loneliness, physical activity, social support and air pollution. No association was found between roadway distance and perceived stress, and between urbanicity, and anxiety and perceived stress. Built environment was associated with mental ill health, partially through pathways related to air pollution and certain individual characteristics (e.g. loneliness). Our study warrants further examination of the mediation and interaction of the built environment-mental health association.