Although underground coal miners are quite susceptible to depressive symptoms due to a highly risky and stressful working environment, few studies have focused on this issue. The purpose of the study was to evaluate the prevalence of depressive symptoms and to explore its associated factors in this population. A cross-sectional survey was conducted in a coal-mining population in northeast China. A set of self-administered questionnaires was distributed to 2500 underground coal miners (1,936 effective respondents). Depressive symptoms, effort-reward imbalance (ERI), overcommitment (OC), perceived physical environment (PPE), work-family conflict (WFC), and some demographic and working characteristics were measured anonymously. The prevalence of depressive symptoms was 62.8%, and the mean level was 20.00 (9.99). Hierarchical linear regression showed that marital status, education, monthly income, and weekly working time were significantly associated with depressive symptoms. A high level of depressive symptoms was significantly associated with high ERI, PPE, WFC, and OC. Accordingly, most Chinese underground coal miners probably have depressive symptoms that are mainly predicted by some occupational psychosocial factors. Efforts should be made to develop strategies to reduce ERI and OC, improve physical working environment, and care for workers' family well-being, thereby mitigating the risk of depression among Chinese underground coal miners.