Employees with a higher level of workplace social capital (i.e. relationships, trust and reciprocity at work) have a lower risk of mental health problems. Supervisor behaviour may be a predictor of workplace social capital. To examine the associations between supervisor behaviour, workplace social capital and psychological well-being. We conducted a secondary analysis of the sixth European Working Conditions Survey. The study sample included 28 900 employees in 35 European countries with an immediate line manager. Depression was assessed with the WHO-5 Well-Being Index. Supervisor behaviour quality and workplace social capital were each measured with a 6-item question. Association between quality of supervisor behaviour and workplace social capital was analysed using a hierarchical linear modelling. A mediation analysis was conducted by using hierarchical logistic models of depression with and without workplace social capital index. A higher supervisor behaviour quality index was associated with an increased workplace social capital index (β, 0.55; 95% confidence interval [CI], 0.51-0.59). A higher workplace social capital index was associated with lower odds of depression (odds ratio [OR], 0.89; 95% CI, 0.87-0.90). A higher supervisor behaviour quality index was associated with lower odds of depression (OR, 0.90; 95% CI, 0.89-0.92); 58% of the effect was mediated by workplace social capital. Our findings support the hypothesis that better supervisor behaviour quality increases workplace social capital and contributes to psychological well-being of employees. This may be useful for planning organizational interventions to enhance mental health of workers.