Diversity in union type is increasing around the world as cohabitation and higher order unions become more prevalent in developing and developed countries. This necessitates a more nuanced understanding of how different union types relate to individual well-being across social settings. In this study, the authors analyze nationally-representative data from Mexico in cross-sectional and change models to evaluate differences in depressive symptoms across union type (marital vs. cohabiting and first vs. higher order unions) among Mexican men and women. The findings suggest that cohabiting unions do not provide the same mental health benefits as marital unions (especially for men). Repartnering is also associated with higher depressive symptoms (especially for women), which indicates possible lasting mental health disadvantages of divorce/separation or entrance into lower quality second unions. These results suggest that the changing family context in Mexico, which includes increasing cohabitation and union instability, may have important consequences for individuals’ psychological well-being.