Using data from the 1995, 1998, and 2001 panels of Aging, Status, and Sense of Control (ASOC) Survey, we examine gender differences in the relationship between self‐rated physical health and mental health over time (n = 2,543). Gender‐stratified path models highlight how the nature of the mental–physical health relationship changes when we use indicators of mental health that have traditionally been labeled as female sensitive (depression) or male sensitive (heavy drinking). Results show that women and men are similar in that mental health has a stronger effect on physical health than the reverse. However, this is only the case when we use gender‐sensitive measures of mental distress: Men who drink heavily and women who are depressed report poorer self‐rated physical health over time, while heavy drinking for women and depression for men have no significant effects on their self‐rated physical well‐being. These results provide evidence of a health process that is gendered in its expression but more universal in its outcome—the exact measure might vary, but men and women alike are physically harmed by mental health problems.