Ecological factors in psychological acculturation research are often neglected, although recent work suggests that context and acculturation may interact in predicting adaptation outcomes. The ethnic density effect—the protective effect related to a greater proportion of people from the same ethnic group living in a particular neighborhood—might be one such ecological candidate. The current study integrates these constructs by unpacking the perceived ethnic density effect and examining how it is related to acculturation in a diverse sample (N = 146) of immigrant students in Montreal, Canada. It was found that the negative relation between perceived ethnic density and depression was mediated by discrimination but not by social support. Furthermore, a crossover interaction indicated that heritage acculturation was protective against depression for those residing in ethnically concentrated neighborhoods but not for those living in ethnically sparse neighborhoods. This strongly supports an ecology–acculturation fit, highlighting the need to contextualize acculturation research.