We examine the dynamic effects of the loss of a spouse on mental health. We use data from the Survey of Health, Ageing and Retirement in Europe (SHARE) for 28 European countries over the period 2004-2022 and estimate event study regressions to examine how individuals’ mental health changes over the transition into widowhood. We find no evidence of changes in mental health before the death of a spouse due to anticipation or caregiving effects. Bereaved individuals experience up to 1.5 additional depressive symptoms and their risk of depression increases by around 20 percentage points, with similar effects for men and women. Individuals adapt relatively quickly and their risk of depression reverts to baseline levels within 3 years of the death. We provide suggestive evidence that this adaptation is in part due to increased rates of social participation. We also find some evidence that the impact on mental health is stronger for individuals living in Eastern Europe and in countries with strong family ties. In addition, individuals in countries with stronger family ties adapt less quickly.