Participation in social activities might increase older adults’ chances to interact with other people and has been found to be important in reducing the likelihood of depression. A picture of older adults’ attitudes towards ageing and their self-esteem constructed through the lens of how they interact with other people might cast light on the sources of older adults’ depression. This study explored the influences of social participation and attitudes towards ageing on depression of Chinese older adults. Using two waves data from the China Longitudinal Ageing Social Survey (CLASS) in 2014 and 2016 (6,908 participants in 2014 and 3,477 participants in both 2014 and 2016), we found that social participation in 2014 could prevent the risk of depression in both the 2014 and 2016 cohorts. In addition, both psychosocial loss and psychosocial growth in 2014 were negatively associated with depression in both 2014 and 2016. However, there was no evidence that social participation moderated the relationship between attitudes towards ageing and depression in either cohort. Social policies need to encourage older adults’ conversion from ‘passive participation’ to ‘active participation’. This could help older adults understand the process of ageing and their value to society, as well as have positive effects on older adults’ mental health.