Differences in genetic endowments can make individuals more or less reactive to changes in their environment (such as policy interventions and living conditions). We here estimate the role of the individual genetic propensity to be depressed as a moderating factor of the association between the exposure to a pension reform in the UK and health outcomes. Using data from the Understanding Society longitudinal study in the UK and exogenous variations in early retirement age from the 1995 to 2011 Pensions Acts, we first show that women who are exposed to an increase in pension age are more likely to stay in employment and less likely to retire. We then show that the reform has a detrimental effect on their mental and physical health. While the labour-market effect is orthogonal to the genetic predisposition for depression, we find that the adverse health effects of the reform are only found for women with a higher genetic propensity to be depressed. We additionally provide evidence that the health effects of the reform are driven by women whose labour market status is affected by the reform. Our results suggest that labour market reforms can have unexpected effects on individuals’ health that enhance genetic health inequalities.