This study examines how intergenerational co-residence mitigates mental health consequences of widowhood in China. Using longitudinal data (2011-2020) from CHARLS and a staggered difference-in-differences design, we find widowhood increases depressive symptoms by 1.815 points (CES-D scale). However, sustained co-residence with adult children is associated with offsetting approximately 79.6% of this adverse effect. Alternative support mechanisms— financial transfers, visits, and remote communication — provide no comparable protection. Mechanism analysis reveals that co-residence protects by stabilizing social networks rather than by monitoring health behaviors. We quantify protection value at 2,790 RMB per person-year, translating to 7.4 billion RMB annual social benefits under a 70% co-residence scenario. The non-substitutability of embedded family support implies that policies should prioritize maintaining pre-existing co-residence arrangements rather than relying on crisis-activated or remote support interventions.