While many associations between neighborhood characteristics and individual well-being have been reported, there is a lack of longitudinal studies that could provide evidence for or against causal interpretations of neighborhood effects. This study examined whether neighborhood urbanicity and socioeconomic status were associated with within-individual variation in depression, mistrust and social support when individuals were living in different neighborhoods with different levels of urbanicity and socioeconomic status. Participants were from the Young Finns prospective cohort study (N ¼ 3074) with five repeated measurement times in 1992, 1997, 2001, 2007, and 2011. Neighborhood urbanicity and socioeconomic status were measured at the level of municipalities and zip-code areas. Within-individual variation over time was examined with multilevel regression, which adjusted the models for all stable individual differences that might confound associations between neighborhood characteristics and individual well-being. Social support from friends was higher in urban areas and in areas with higher socioeconomic status, whereas social support from the family was higher in rural areas. These associations were observed also in the within-individual analyses, and they were partly accounted for by employment and socioeconomic status of the participants. There were no associations between neighborhood characteristics and depression or mistrust. These findings suggest that people receive less support from their families and more support from their friends when living in urban compared to rural regions of Finland. These differences are partly explained by people's changing socioeconomic and employment statuses.