Socialising with higher‐status individuals can be hypothesised to exert opposing influences on the mental health of the ego. On the one hand, socialising with higher‐status alters might enable individuals to access valuable resources. On the other hand, status‐discrepant friendships could be detrimental to mental health by engendering feelings of unfairness. We sought to examine the impact of status‐discrepant social relationships on depressive symptoms in the 2012 Korean General Social Survey (KGSS), a nationally representative sample. We show that socialising with higher‐status people is positively associated with depressive symptoms. There is no significant difference between those socialising with equivalent‐status or with lower‐status alters. Perceived unfairness also increase depressive symptoms. Respondents socialising with higher‐status alters tend to report greater depressive symptoms as their perceived unfairness increases. Gender‐stratified analyses reveal that the detrimental impact of status‐discrepant relationships are observed for men only, not for women. These findings suggest that socialising with higher‐status people can be a net detriment for mental wellbeing by increasing stress/frustration or decreasing psychological resources such as self‐esteem, and that these effects are more pronounced for individuals who perceive that society is unfair. This pattern appears stronger for men, which might be associated with gender roles internalised through gender socialisation processes.