With the development of society, people pay more attention to mental health. Meanwhile, depression is becoming a major psychological problem faced by Chinese youth. We examined the mediational roles of self-esteem in accounting for the relation between perceived chronic social adversity and depression and the relation between perceived social support and depression among Chinese college students. A total of 805 Chinese college students (65.6% females, mean age = 20.17 years) completed a multi-measure questionnaire. A cross-sectional correlational research design was used in this study. Obtained data were analyzed using correlational and mediation analysis by Hayes (PROCESS macro). Results of the correlational analysis indicate that perceived chronic social adversity was significantly positively related to depression, but perceived social support was found significantly negatively correlated with depression among Chinese college students. PROCESS macro was used to test the mediating role of self-esteem based on proposed mediation model. The results of mediation analysis revealed that: (1) perceived chronic social adversity positively related to depression, whereas perceived social support negatively related to depression, (2) self-esteem partially mediated the relation between perceived chronic social adversity and depression, and (3) self-esteem entirely mediated the relation between perceived social support and depression among Chinese college students. The results suggest that college students' depression can improve by positive cognition of social encounters via obtaining a high level of self-esteem. In addition, limitations and practical applications of the findings were discussed.