Objectives The impact of grandparenting on depression is mediated by both macro- and micro-level factors, however, their combined examination between different country contexts is relatively rare. This study examined whether country level income and grandparents' gender influenced the relationship between the transition to grandparenthood and individuals' depression across England, Europe and China. Methods Multi-level linear regression analyses with restricted maximum likelihood estimation were performed covering 15 countries from the ELSA, the SHARE and the CHARLS 2010-15 in order to understand cross-country differences in this area. Results This study found significant cross-national variations in the effects of transitioning to grandparenthood on individuals' depression. Transitioning to grandparenthood reduced the depression score among both men and women in lower income countries, but increased it in higher income countries. Moreover, the gender gap in the effects of becoming a grandparent on one's depression was wider in lower income countries than higher income countries. Conclusions Policymakers should pay attention to the support grandparents need, and systematically integrate childcare provided by grandparents into family policies. Policies supporting older people should take into account the way in which macro-level and micro-level factors combine to affect grandparents' well-being.