The mental health status of informal employees is rarely studied in China. Nowadays, new economic forms such as gig economy and platform economy are emerging with the rapid development of information and communication technology, which has brought great changes to the labor market, especially to the informal employment field. Thus, it is of great significance to investigate the depressive symptoms among informal employees in the digital era. Based on the cross-sectional data of CFPS (China Family Panel Studies, 2018), this study takes a quantitative analysis framework to explore and analyze the association between informal employment and depressive symptoms in the Chinese labor market. After screening, a data set of 8893 employees (60.5% male and 39.5% female) was established. Several statistical methods, including the Mann–Whitney test and probit regression model, were used in the sample data analysis. The results show that the prevalence of depressive symptoms among informal employees is significantly higher than that among formal employees. Depressive symptoms are highly related to informal work and other factors, such as education, physical health, household income, etc. The impact of Internet use on informal employees’ depressive symptoms is not significant. The mental health inequality between formal and informal employees still exists in the digital era, and corresponding labor market regulations and social policies should be perfected to address this issue.