The adult employees suffer from various pressure and their mental health has been paid more and more attention to. This study has two purposes, namely, (1) to investigate the gender differences in the stressors and utilization frequency of problem-focused coping among adult employees and (2) to explore the gender differences in the interaction effect of cumulative risk and problem-focused coping on depression among adult employees. The cumulative risk of employees was assessed in the following six ways: health pressure, family economic pressure, love and marriage problems, conflicts among family members, work stress and friend support. Problem-focused coping was measured by the three dimensions of active coping, planning, and using instrumental support from the Brief COPE scale, and depression was assessed by the Self-rating Depression Scale. The participants consisted of 406 Chinese employees. The results showed that (1) the cumulative risk of male employees was marginally significantly higher than that of female employees; (2) there was no significant difference in the utilization frequency of problem-focused coping between male and female employees; and (3) problem-focused coping moderated the relationship between cumulative risk and depression for male employees but not for female employees. This study indicates that problem-focused coping has a stronger effect on depression for male employees than for female employees.