Objective External events affect individuals through their cognitive process, a model on how and when negative life events are associated with depressive symptoms was tested by considering individuals’ internal and external factors based on the conservation of resource theory (COR). Methods We conducted a survey to test our hypotheses. Participants were college students who were selected with the cluster sampling method and were asked to complete the scales measuring negative life events, perceived social support, psychological capital (PsyCap), rumination, and depressive symptoms in the classroom with a unit of class. A total of 764 questionnaires were distributed and returned, and 703 valid data were obtained finally. Results The present study found that (1) the relationship between negative life events and depressive symptoms was moderated by perceived social support negatively, such that the relationship was stronger with low perceived social support; (2) the relationship between negative life events and depressive symptoms was mediated by rumination; (3) the relationship between rumination and depressive symptoms was moderated by PsyCap negatively, such that the relationship was stronger with low PsyCap; (4) the indirect relationship between negative life events and depressive symptoms through rumination was moderated by PsyCap negatively, such that the indirect relationship got stronger with low PsyCap. Conclusion Rumination is an essential process for negative life events to affect depressive symptoms, PsyCap and perceived social support help alleviate the detrimental effect of negative life events from internal and external perspectives, respectively. Our research conclusion has a theoretical and practical implementation for reducing depressive symptoms in college students.