High levels of social capital may be associated with positive mental health in adults. However, quantifying the various dimensions of social capital has presented a challenge due in part to the diverse definitions and measures used. Data from a representative, population-wide survey of Australian adults aged 16 years and older were used to investigate the links between dimensions of social capital and mental health morbidity. Social capital comprised three constructs and was measured at the individual level: feelings of trust and safety, community participation and neighbourhood connections and reciprocity. Mental health was measured by the 10-item Kessler (K10) instrument and assessed symptoms of psychological distress (i.e., depression and anxiety) over the previous month. Community participation showed a weak, and neighbourhood connections and reciprocity a moderate association with distress. Having higher levels of trust and feeling safe were consistently associated with low levels of psychological distress, after adjusting for socio-demographic characteristics and health conditions. The results clearly demonstrate that having trust in people, feeling safe in the community and having social reciprocity are associated with lower risk of mental health distress. The implications for conceptualising and measuring the individual and collective (contextual) dimensions of social capital are discussed. The findings also suggest the importance of examining the interrelationships between socio-economic status, social capital and mental health for community-dwelling adults.