OBJECTIVE: While the adverse effect of Major Depressive Episode on role functioning is well established, the exact pathways remain unclear. METHOD: Data from The European Study of the Epidemiology of Mental Disorders, a cross-sectional survey including 21 425 adults from six European countries, were used to assess 12-month depression (Composite International Diagnostic Interview), activity limitations and role functioning in the past 30 days (Disability Assessment Schedule). An a priori model based on the World Health Organization's International Classification of Functioning, Disability and Health was designed and a structural equation model for categorical and ordinal data was used (MPlus) to estimate the extent to which six limitations mediated the association between depression and role functioning. RESULTS: The unadjusted association between depression and role functioning was strong (0.43; SE = 0.04). In the best-fitting model, only concentration and attention problems and embarrassment mediated a significant amount of association (direct effect dropped to 0.17; SE = 0.10, which was no longer significant). CONCLUSIONS: Targeting cognition and embarrassment in treatment could help reduce depression-associated role disfunctioning.