We investigated the effects of three different interventions on depressive symptoms in adolescents. As a secondary aim, we explored the mediating role of social isolation, anxiety, sleep quality, and cognitive function of the intervention effect on depressive symptoms. We conducted a cluster randomized controlled trial, in which schools were randomly assigned to 1. Doubling physical education (PE) classes (3:20 h of PE/week); 2. Workshop with the PE teachers; 3. Workshop with the PE teachers + Doubling PE classes; and 4. Control group (1:40 h of PE/week). In total, 1279 adolescents were included, 56.4% females. Doubling PE classes and the workshop with the PE teachers + Doubling PE classes groups did not affect depressive symptoms (−0.947, 95% CI −3.176 to 1.281; and, 0.726, 95% CI −1.558 to 3.009, respectively). The workshop with the PE teachers decreased adolescents' depressive symptoms (−2.495, 95% CI −4.668 to −0.323), social isolation (−4.759, 95% CI −9.025 to −0.493), and poor sleep quality (−0.560, 95% CI −1.108 to −0.012) compared with the control group. Social isolation mediated 32% of the workshop effect on depressive symptoms. The workshop with the PE teachers and the workshop with the PE teachers + Doubling PE classes groups lowered in 93% and in 54% the risk of the adolescents in developing high depressive symptomatology compared with the control group, respectively. A workshop updating PE teachers on pedagogical and health-related topics decreased depressive symptoms in adolescents. Moreover, improvements in the adolescents' social isolation mediated the effect of PE teachers' workshop intervention on the depressive symptoms in adolescents.