Access to urban nature is an important contributor to human health. Yet evidence of nature's benefits comes overwhelmingly from the Global North and might not directly translate to cities in the Global South. Here, using survey data from 1,119 residents of Asunción, Paraguay, we found that the context and intentionality of nature exposure and the function of nature in the individual's life collectively shape nature's effect on mental health and well-being. While a stronger nature connection was positively associated with life satisfaction, for individuals living in informal settlements, higher levels of greenness near their home were associated with lower life satisfaction. Alternatively, like their Global North counterparts, for residents in formal parts of the city, nature exposure was positively associated with well-being. Our findings suggest that well-being benefits from everyday greenness depend on the socio-environmental context but connection to nature that motivates positive nature seeking can be beneficial for well-being among the urban poor.