Using data from an ongoing longitudinal study of 5,164 adolescents and their parents from seven cities in mainland China, this study investigated how social capital embedded in the family and the community, together with family human capital and financial capital, influenced the depressive symptoms of urban Chinese adolescents within an integrative framework. The structural equation modeling results suggested that higher community social capital was associated with lower level of adolescent depressive symptoms and was the strongest predictor among all these contextual factors. Family social capital played a significant role in mediating the effects of all other contextual factors on adolescent depressive symptoms. Unexpectedly, higher family financial capital predicted increased depressive symptoms both directly and indirectly through its negative effect on family social capital. As for gender, female adolescents reported more depressive symptoms as a result of less available family social capital. Implications of these findings for theory, practice, policy, and future research are discussed.