Negative family interactions have an adverse impact on adolescent mental health. The present study focused on the influence of family incivility on adolescent depression. In order to examine the association of family incivility with depression, an integrated framework was constructed to explore the mediating role of self-compassion and the moderating role of sex differences. Two waves of data were collected from 999 Chinese senior high school students (43.6% males and 56.4% females), with a mean age of 16.58 ± 0.54 years. Time 1 family incivility was positively associated with depression at Time 2 (r = 0.40, p < 0.001). Sex differences moderated the link between family incivility and self-compassion, with their association being significant in females (B = −0.07, SE = 0.03, p = 0.013) but not in males (B = 0.03, SE = 0.03, p = 0.376). Regarding the effect of family incivility on depression, the direct effect was significant only in males (B = 0.13, SE = 0.03, p < 0.001), whereas the indirect effect via self-compassion was significant only in females (B = 0.01, SE = 0.01, 95% CI [0.0010, 0.0232]). The present findings revealed a positive association between family incivility and adolescent depression. Moreover, family incivility has a direct impact on depression in male adolescents and an indirect impact through self-compassion in female adolescents. These findings underscore the important role of adolescent sex differences in the impact of family incivility on adolescent depression and highlight the practical importance of developing interventions to reduce family incivility.