Depression is the second most common mental disorder among adolescents worldwide. From the perspectives of emotional security theory and interpersonal acceptance-rejection theory, parental rearing behaviors impact adolescents' depressive symptoms. The current study aims to uncover the underlying relationship mechanisms between different parental rearing behaviors and depressive symptoms. A sample of 372 junior high school students participated in this study. The results indicated that parental rejection and overprotection were associated with psychological insecurity and depressive symptoms, and parental emotional warmth was positively related to core self-evaluations. Paternal rejection had a more substantial impact on the lower distribution of depressive symptoms scores in the 25th percentile, while maternal rejection was significantly related to depressive symptoms in the 50th and 75th percentiles. Adolescents' depressive symptoms were reduced when they had more paternal and maternal emotional warmth. Indirect effects of parenting behavior on depressive symptoms through core self-evaluations and psychological insecurity were found. Adolescents with higher levels of parental emotional warmth reported lower levels of psychological insecurity, which was related to higher levels of core self-evaluations; moreover, core self-evaluations were negatively related to depressive symptoms.