This study aims to examine whether there is a difference in the sequential effect of depression on academic performance through peer relationships in Chinese adolescents based on gender and physical activity by using longitudinal data. Data from 7170 people from the China Education Panel Survey (CEPS) were used for analysis. The analysis showed that the indirect effect of depression on academic performance through peer relationships varied depending on gender and physical activity. Specifically, in male students experiencing depression, there was an indirect effect on academic performance through peer relationships in both high and low physical activity groups. In female students experiencing depression, the indirect effect on academic performance through peer relationships was offset if they participated more in physical activity. In other words, for female students participating in physical activity, improvement in peer relationships did not lead to higher academic performance, whereas for male students, improvement in academic performance could be anticipated by improving peer relationships regardless of participation in physical activity. Moreover, since peer relationships play a critical role in improving the academic performance of adolescents experiencing depression, it is important to develop a physical activity or sports program to strengthen peer relationships to improve academic performance.