Adverse life events are often understood as having negative consequences for mental health via objective hardships, which are worse for persons with less income. But adversity can also affect mental health via more subjective mechanisms, and here, it is possible that persons with higher income will exhibit greater psychological sensitivity to negative events, for various reasons. Drawing on multiple sociological literatures, this article theorizes potential mechanisms of increasing sensitivity with income. The proposition of differential sensitivity is tested using the strategic case of spousal and parental bereavement among older US adults. The analyses find consistent evidence of increasing sensitivity of depressive symptoms with income. A series of robustness checks indicate that findings are not due to endogenous or antecedent selection. Further, exploratory analyses of mechanisms suggest that higher sensitivity among the affluent was driven by greater expectations and better relationship quality with the deceased. These findings problematize the conceptualization and assessment of human suffering in economically stratified societies.