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In a rapidly urbanizing world, identifying evidence-based strategies to support healthy design is essential. Although urban living offers increased access to critical resources and can help to mitigate climate change, densely populated neighborhood environments are often higher in many of the physical and psychological stressors that are detrimental to health, and lower in the social capital that is beneficial to health. One component of urban form that can reduce these stressors and improve social capital is nature: greenspace, such as parks and street trees, and bluespace, such as rivers and oceans. In this project, we applied measures from a Natural Space Index previously developed for the Vancouver, Canada census metropolitan area to explore the relationship between distinct measures of natural space and prevalence of (1) major depressive disorder, (2) negative mental health, and (3) psychological distress. In addition, we examined direct associations between natural space exposure and neighborhood social capital, as measured via self-reported sense of community belonging (SoC), as well as the potential mental health benefits of natural space mediated via SoC. Using data from the population-based, cross-sectional 2012 Canadian Community Health Survey-Mental Health (weighted n = 1,930,048), we found no direct associations between any measure of natural space and mental health in models adjusted for 11 demographic, socioeconomic, household arrangement, health, and urban design variables. However, publicly accessible neighborhood nature was associated with increased odds of higher SoC. A 1% increase in the percentage of natural space (combined greenspace and bluespace) within 500 m had an odds ratio [95% confidence interval] of 1.05 [1.00, 1.10] for very strong vs. very weak SoC and 1.04 [1.01, 1.08] for somewhat strong vs. very weak SoC. In addition, higher levels of SoC were associated with improvements in all three mental health outcomes. Mediation tests indicated significant indirect effects of both publicly accessible neighborhood nature variables on reductions in psychological distress and reduced odds of negative mental health via increased sense of SoC. This suggests that natural space has the potential to address the pressing issue of social isolation and, in turn, poor mental health faced by residents of dense urban environments.