Globally, dyslipidemia is now become a leading risk factor for many adverse health outcomes, especially in the middle-aged and elderly. Recent evidence suggests that exposure to greenness and the relief of a psychological burden may decrease the prevalence of dyslipidemia. The objective of our study was to examine whether a green space can moderate the association between mental health status and dyslipidemia. Our study selected the datasets of depression symptoms, dyslipidemia from the China Health and Retirement Longitudinal Study (CHARLS), and the satellite-based normalized difference vegetation index (NDVI) from the 30 m annual maximum NDVI dataset in China in 2018. Ultimately, a total of 10,022 middle-aged and elderly Chinese were involved in our study. Multilevel logistic regressions were performed to examine the association between symptoms of depression and dyslipidemia, as well as the moderate effect of greenness exposure on the association. Our research suggested that adults diagnosed with depression symptoms were more likely to suffer from dyslipidemia. In addition, the NDVI was shown to moderate the effect of depression on dyslipidemia significantly, though the effect was attenuated as depression increased. Regarding the moderate effect of the NDVI on the above association across age, gender, and residence, the findings presented that females, the elderly, and respondents living in urban areas were at a greater risk of having dyslipidemia, although the protective effect of the NDVI was considered. Likewise, the moderate effect of the NDVI gradually decreased as the level of depression increased in different groups. The current study conducted in China provides insights into the association between mental health, green space, and dyslipidemia. Hence, improving mental health and green spaces can be potential targets for medical interventions to decrease the prevalence of dyslipidemia.