Background: Following China’s strategy of developing applied and compound social talents, vocational undergraduates are surging rapidly, and it is essential to understand the causes of their depression to effectively prevent and intervene in schools. Objective: We aimed to investigate the relationship between negative life events (NLEs) and depression among vocational undergraduates in China, along with the mediating role of loneliness and the moderating role of socioeconomic status (SES). Methods: A convenience sample survey was conducted at a vocational education university (N = 1487), and analyzed using partial least squares structural equation modeling. Results: Findings showed that NLEs directly predicted depression (β = 0.399, 95% CI [0.339, 0.452], p < 0.001) among vocational undergraduates. Furthermore, this relationship was partially mediated by loneliness (β = 0.182, 95% CI [0.145, 221], p < 0.001); SES moderated the link between NLEs and depression (β = 0.051, 95% CI [0.004, 092], p < 0.05), but not between NLEs and loneliness (p > 0.05). Conclusions: The current study highlights the impact of NLEs on depression among vocational undergraduates, indicating the importance of addressing NLEs and consequent feelings of loneliness to promote mental health. In addition, the moderating role of SES underscores the necessity of targeted interventions to mitigate the impact of NLEs on depression. The present study contributes to our understanding of the unique characteristics of depression in vocational undergraduates and has practical implications for psychological support services. Moreover, it probably has broader implications for addressing mental health challenges in global education settings for vocational undergraduates.