The consequences of the socioeconomic transition for male physical health in Russia are widely documented, but much less research examines psychological well-being and mental outlook, or how these outcomes differ for men and women in Russia. Exploring gender differences in personal control, an important aspect of psychological well-being, we find that, controlling for social and economic factors, Russian women report lower levels of control than men. Gender differences in the social determinants of perceived control highlight the importance of gender roles for understanding psychological stress and inform how social expectations differentially influence men's and women's paths to well-being in Russia.