OBJECTIVE The aims of this study were to: (a) compare gender differences in mental well-being in the Nordic countries with gender differences in 28 other countries around the world; and (b) evaluate whether gender differences in the Nordic countries remain when other social and lifestyle factors are taken into account. METHODS Data were obtained from 32 countries around the world that participated in the 2011 health module of the International Social Survey Programme. Ordered logit regression models were used to evaluate whether gender differences remained significant when other social and lifestyle factors were considered. RESULTS Gender differences in mental well-being in the Nordic countries are not particularly small and the four countries do not cluster together. The gender differences remain when other social and lifestyle factors are taken into account. CONCLUSIONS There appears to be a similar Nordic health paradox for mental well-being outcomes as for physical health outcomes. Although there may be multiple reasons for this, continued gender equality, including sex segregation in the labour market and gendered expectations, are considered to play a part.