The present study investigates the link between two indices of cognitive social capital; namely interpersonal and institutional trust, and the presence of major depression and generalized anxiety disorder in the Greek population in the light of the ongoing financial crisis. A sample of 2256 respondents took part in a cross-sectional nationwide telephone survey in the time period February–April 2011 (Response Rate = 80.5%). Major depression and generalized anxiety disorder were assessed with the Structured Clinical Interview, while for interpersonal and institutional trust the pertinent questions of the European Social Survey were employed. Socio-demographic variables were also included in the research , while participants' degree of financial strain was assessed through the Index of Personal Economic Distress. Both interpersonal and institutional trust were found to be considered protective factors against the presence of major depression, but not against generalized anxiety disorder for people experiencing low economic hardship. Nonetheless, in people experiencing high financial strain, interpersonal and institutional trust were not found to bear any association with the presence of the two disorders. The results of our study show that the effect of social capital on mental health is not uniform, as evident by the different pattern of results for the two disorders. Furthermore, cognitive social capital no longer exerts its protective influence on mental health, if individuals experience high economic distress. As a corollary of this, interventions aiming at mitigating the mental health effects of economic downturns cannot rely solely on the enhancement of social capital, but also on alleviating economic burden.