After adjusting for covariates, self-reported general health in England is higher among populations living closer to the coast, and the association is strongest amongst more deprived groups. We explored whether similar findings were present for mental health using cross-sectional data for urban adults in the Health Survey for England (2008–2012, N ≥25,963). For urban adults, living ≤1 km from the coast, in comparison to >50 km, was associated with better mental health as measured by the GHQ12. Stratification by household income revealed this was only amongst the lowest-earning households, and extended to ≤5 km. Our findings support the contention that, for urban adults, coastal settings may help to reduce health inequalities in England.