High school students face various pressures such as academic and interpersonal relationships, which can easily lead to depression. Social exclusion is one of the important influencing factors for adolescent depression, but there is still limited research on the mechanisms of the impact that social exclusion has on depression. Therefore, this study aimed to explore the effect of social exclusion on depression among high school students, as well as the mediating role of thwarted belongingness and the moderating role of cognitive reappraisal. Methods: Researchers assessed 1041 high school students using the Center for Epidemiologic Studies Depression Scale (CES-D), Adolescent Social Exclusion Scale, Interpersonal Needs Scale, and Emotion Regulation Scale. Results: (1) Social exclusion was negatively associated with cognitive reappraisal (r = −0.224, p < 0.001), and positively associated with thwarted belongingness and depression (r = 0.657, 0.490, p <0.001). Thwarted belongingness was positively associated with depression (r = 0.617, p <0.001), and negatively associated with cognitive reappraisal (r = −0.325, p <0.001). Cognitive reappraisal was negatively associated with depression (r = −0.280, p < 0.01). ( 2) Social exclusion could directly predict depression, 95% CI [0.08, 0.21]. Thwarted belongingness played a partial mediating role between social exclusion and depression, 95% CI [0.30, 0.40]. (3) Cognitive reappraisal moderated the predictive effect of thwarted belongingness on depression. Conclusion: Social exclusion can influence depression through thwarted belongingness and cognitive reappraisal, and educators can reduce depression by decreasing thwarted belongingness and promoting the use of cognitive reappraisal strategies by high school students.