Background: The association between specific chemical components of PM2.5 and depression remains largely unknown. Methods: We conducted a time-stratified case-crossover analysis with a distributed lag nonlinear model (DLNM) to evaluate the relationship of PM2.5 and its chemical components, including black carbon (BC), organic matter (OM), sulfate (SO42−), nitrate (NO3−), and ammonium (NH4+), with the depression incidence. Daily depression outpatients were enrolled from Huizhou, Shenzhen, and Zhaoqing. Results: Among 247,281 outpatients, we found the strongest cumulative effects of PM2.5 and its chemical components with the odd ratios (ORs) of 1.607 (95% CI: 1.321, 1.956) and 1.417 (95% CI: 1.245, 1.612) at the 50th percentile of PM2.5 and OM at lag 21, respectively. Furthermore, the ORs with SO42− and NH4+ at the 75th percentile on the same lag day were 1.418 (95% CI: 1.247, 1.613) and 1.025 (95% CI: 1.009, 1.140). Relatively stronger associations were observed among females and the elderly. Conclusions: Our study suggests that PM2.5 and its chemical components might be important risk factors for depression. Reducing PM2.5 emissions, with a particular focus on the major sources of SO42− and OM, might potentially alleviate the burden of depression in South China.