Despite a well‐established social gradient for many mental disorders, there is evidence that individuals near the middle of the social hierarchy suffer higher rates of depression and anxiety than those at the top or bottom. Although prevailing indicators of socioeconomic status (SES) cannot detect or easily explain such patterns, relational theories of social class, which emphasise political‐economic processes and dimensions of power, might. We test whether the relational construct of contradictory class location, which embodies aspects of both ownership and labour, can explain this nonlinear pattern. Data on full‐time workers from the National Epidemiologic Survey on Alcohol and Related Conditions (n = 21859) show that occupants of contradictory class locations have higher prevalence and odds of depression and anxiety than occupants of non‐contradictory class locations. These findings suggest that the effects of class relations on depression and anxiety extend beyond those of SES, pointing to under‐studied mechanisms in social epidemiology, for example, domination and exploitation.