Childhood maltreatment of various types has been associated with onset of depression in adults. Previous epidemiological studies in Asian countries have confirmed a high level of childhood maltreatment, especially physical maltreatment. Yet, depression appears to be less prevalent in Asian countries than in western cultures. This study aimed to investigate the protective effect of a Chinese cultural factor, namely filial piety, against clinical depression. The study also aimed to examine the relation between filial piety, childhood maltreatment-specific inferences and adult inferential styles, so as to understand the mechanism of how filial piety protects against depression in Chinese population. Depressed outpatients (n = 80) and community controls (n = 80) were recruited from a psychiatric out-patient clinic and from community centres respectively. The two groups were compared on levels of filial piety, adult inferential styles and levels of childhood maltreatment. Depressed participants, compared to community controls, had higher levels of reported experiences of childhood maltreatment and lower levels of filial piety. Filial piety moderates adult negative inferential style and global belief of maltreatment through interacting with reported experiences of childhood maltreatment. Such moderation effect was found only in physical and emotional child maltreatment experiences, but not in sexual child maltreatment. Filial piety might be a protective factor against depression through its moderating effect on explanations and global belief of childhood maltreatment experiences.