There are serious concerns about mental health on college campuses. Depression negatively impacts college student success. Women and transgender/gender-nonconforming students suffer from depression at higher rates than men. While undergraduate research is a high-impact practice, we know little about how depression affects outcomes among undergraduate researchers with different gender identities. To investigate this, we use data from n = 516 students participating in n = 78 Summer 2022 NSF REU Sites programs via the NSF-sponsored Mentor-Relate project. We used gender-stratified generalized estimating equations that nest students within their REU Sites to predict research gains for men and women and transgender/gender-nonconforming students. Greater depression was negatively associated with personal and skills gains for women and transgender/gender-nonconforming students (p < 0.05), but not men. Having a more competent faculty mentor was associated with greater gains for women and transgender/gender-nonconforming students, as well as men. In an interaction model, having a more competent mentor reduced the negative effect of depression on personal gains for women and transgender/gender-nonconforming students (p < 0.05). Results suggest practical actions including cultivating mentors' mental health literacy and peer support networks, boosting mentor competency through mentor training programs, and changing institutional reward structures to incentivize high-quality mentoring.