Background: Reasons for the higher rates of depression, anxiety and common mental disorders among women are unclear. We investigated the mediating effect of schooling and personal income and the effect modification of maternal schooling and family income at baseline. Methods: In 1982, the maternity hospitals of Pelotas (Southern Brazil) were daily visits and those livebirths whose family lived in the urban area of the city were examined and their mothers interviewed. At 30 years, the presence of major depression (MD) and generalized anxiety disorder (GAD) was assessed using the Mini-International Psychiatric Interview, and common mental disorders (CMD) with the self-rated questionnaire. We used Mantel-Haenszel test to assess effect modification and a counterfactual framework using inverse probability weights (IPW) and G-computation to analyze mediation. Results: Income at 30 years captured part of the association of sex with MD (16.5%), GAD (14.2%), and CMD (18.0%). Schooling at 30 years was higher in women (p<0.001), and therefore inversely mediated the association with MD (-5.4%), GAD (-4.8%), and CMD (-6.7%). If we fixed the mediator to earning more than 3 minimum salaries, the effect of sex, was reduced in 64.9%, 56.7% and 31.4%, for MD, GAD and CMD, respectively, and 62.4%, 13.6% and 23.8%, if fixed to 12 or more years of schooling. Limitations: We were not able to evaluate mental health and socioeconomic changes, or assess a bidirectional effect Conclusion: Personal income and schooling at 30 years, are important mediators and effect modifiers of the association between sex and MD, GAD, and CMD.