Hong Kong is well known for its high-rise and high-density housing where living conditions are inevitably linked to psychological distress. Understanding environmental factors at household- and neighbourhood-level is essential for future urban planning. The present study examines the association between built environment, housing and neighbourhood quality and psychological distress in a sample of 702 participants recruited from the longitudinal study of Hong Kong Mental Morbidity Survey (HKMMS). Participants with significant psychological distress perceived poorer quality of household and neighbourhood environments in various domains. Smaller household size and older property were also associated with increased risk of psychological distress, after controlling for other potential confounders. The data shed light on the importance of urban environment in the ecological model of mental health.