Although childhood maltreatment is known to be associated with depressive symptoms, few studies have investigated the mediating effect of different types of coping styles on this association. It is unknown whether the impacts vary by sex. We investigated the mediating effects of different coping styles on the relationship between childhood maltreatment and depressive symptoms among Chinese undergraduates, as well as the role of sex in the mediated pathways. A total of 7643 college freshmen and sophomores (5665 females, 1978 males; 4215 freshmen, 3428 sophomores; mean age, 19.67 years) from two colleges in China completed a standard questionnaire on the details of childhood maltreatment, depressive symptoms, and coping styles. Childhood maltreatment was significantly correlated with all coping styles and depressive symptoms studied (p < 0.001). Problem solving, self-blame, help seeking, problem avoidance, and rationalization mediated the relationship between childhood maltreatment and depressive symptoms. The estimated ratio of the effect of childhood maltreatment on the occurrence of depressive symptoms can be explained by the mediation of problem solving, self-blame, help seeking, problem avoidance, and rationalization, which accounted for 15.1%, 25.6%, 7.4%, 1.6% and 1.6% of the total effect, respectively. Sex differences were found to have mediating effects on coping styles in terms of the relationship between childhood maltreatment and depressive symptoms. The findings illustrate the need to focus on coping styles and to employ sex-specific methods to effectively help college students reduce depressive symptoms associated with childhood maltreatment.