Parkinson’s disease and Alzheimer’s disease are the most commonly diagnosed neurodegenerative disorders. Though these disorders differ in terms of their underlying pathophysiology as well as in their clinical features and course, there is a certain degree of overlap between them. This overlap may be partly related to α-synuclein-mediated neuropathological changes. Recent evidence has found that depression is associated with an increased subsequent risk of both these neurological disorders, and that α-synuclein may also play a pathogenic role in depression. The current study examines epidemiological, population genetic and environmental exposure data in relation to the estimated prevalence of depressive disorders, Parkinson’s disease and Alzheimer’s disease using a cross-sectional, country-level analysis. The results of this study are consistent with a significant relationship between depressive disorders and neurodegenerative disorders, a possible shared genetic vulnerability related to functional polymorphisms of the α-synuclein gene SNCA, and potential gene-environment interactions involving fine particulate matter pollution. The significance of these results is discussed in the light of existing translational, clinical and epidemiological research on the links between these disorders.