Air, noise and chemical pollution are to blame in particular, according to the EU agency.
"Studies consistently indicate that air pollution, for example in the form of fine particulate matter (PM2.5) and nitrogen dioxide (NO2), is associated with depression and depressive symptoms," the agency noted in a report.
Exposure to lead, endocrine disruptors and other chemical substances, especially in "developmental life phases, may increase the risk of mental health issues later in life," it added.
Furthermore, noise pollution, from air and road traffic, may be linked to an increased risk of depression and anxiety, particularly for vulnerable people.
"Progress towards zero pollution targets can deliver co-benefits for mental health and well-being," the EEA said.
Moreover, nature-based solutions offer scientifically proven benefits for people suffering from mental disorders, by reducing stress, anxiety and depression and by improving overall well-being through contact with nature, it said.
According to the EEA, mental health disorders accounted for the sixth "largest burden" of disease in the European Union in 2023 and was the eighth leading cause of death.
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