A cross-sectional study was conducted in Olinda, Pernambuco, to investigate a possible association between unemployment, informal work, and common mental disorders (CMD) assessed by the Self Reporting Questionnaire (SRQ - 20). While women working in the formal labor market showed significantly better mental health as compared to informal workers (OR = 3.02, 95% CI 1.3-7.2), housewives (OR = 2.29, 95% CI 1.0-5.0), and unemployed (OR = 2.66, 95% CI 1.1-6.3) and inactive women (OR = 3.19, 95% CI 1.2-8.4), no difference was found among men. The actual pattern of the odds ratios suggests a modifying effect of gender in the association between employment status and CMD. However, the interaction term added to the final model was statistically significant for informal work, but not for unemployment. The results of the present study suggest that the experience of informal work may be different for men and women. This finding highlighted the need to incorporate a gender approach (reflecting a social dimension of sex-related inequalities) to the theoretical framework based on social classes adopted here.