Against the backdrop of rapid urbanization and severe population aging, older adults living alone or with a spouse in China have become a special and vulnerable group that deserve more research attention. Based on a national sample of 3886 older adults (≥60 years old) living alone or with a spouse, we used multiple linear regression models to investigate the effect of children’s support on depression among older adults living alone or with a spouse in China. A comparative analysis was conducted to examine the differences between urban and rural areas. The results indicated that financial support from children was negatively correlated with depression among older adults living alone or with a spouse, especially in rural areas. Their children’s frequency of contact also significantly alleviated depression among non-cohabiting parents in rural areas, but not for the same types of parents living in urban areas. Compared with financial support, their children’s frequency of contact contributes more to decreasing depression among older adults living alone or with a spouse. The effect of their children’s support on depression is comparable to that of demographic characteristics, which are usually deemed as important factors in the psychological health of older adults. Moreover, we found that the marginal effects of self-rated health and pain were significant and much higher than other control variables, especially in the urban model.