<p>Adolescents develop rapidly, are sensitive to external environmental pressure, and are prone to depression symptoms. Physical activity has been identified as a protective factor for depressive symptoms. Psychological capital is strongly associated with depressive symptoms, and gender has been identified as a potential protective factor. For adolescents in early adolescence, the complex relationship between these factors needs further study. The aim of this study was to explore the mediating role of psychological capital between depressive symptoms and physical activity in adolescents, and the moderating role of gender between the two. Physical activity, depressive symptoms and psychological capital were measured by Physical Activity Rating Scale (par-3), Central Depression Scale (CES-D) and Psychological Capital Scale (PCQAS) in 1146 adolescents. The proposed relationships were tested using models 4 and 14 of the structural equation model, respectively, for mediating and regulating effects. Physical activity was negatively correlated with depressive symptoms and positively correlated with psychological capital. Psychological capital was negatively correlated with depressive symptoms and mediated the relationship between physical activity and depressive symptoms. Gender effectively moderates the latter half of the mediated model pathway. In adolescents, especially girls, depression symptoms can be alleviated and prevented by increasing daily physical activity and positive psychological capital reserve.</p>