Adolescents experiencing stressful life events are at risk for psychopathology, suggesting the necessity of identifying factors that may protect against the deleterious effects of exposure to stressful life events. Informed by the Shattered Assumptions Theory and the CASEL Framework, this study extends existing research by investigating the role of belief in a just world as a mediator and social-emotional competency as a moderator in the relationship between stressful life events and depression among adolescents within a Chinese cultural setting. Data were drawn from self-reported questionnaires that were completed by 4425 adolescents in grades 7-12 (48.5% female) in China. The results showed that belief in a just world plays a mediating role in the relationship between stressful life events and adolescent depression. Social-emotional competency moderated both the direct and indirect relationships between stressful life events and adolescent depression, mediated by belief in a just world. Our findings suggest that belief in a just world and social-emotional competency are significant yet under-explored variables in deciphering how stressful life events influence depression in adolescents. This underscores the necessity for developing targeted interventions to reduce depression among adolescents deemed at risk.