In order to explore the relationship between rumination thinking, coping styles, gender, and adolescent depression, this study utilized a questionnaire with 466 and 309 adolescents. The results showed that (1) adolescents' rumination was significantly and positively correlated with their depression; (2) there was a significant moderating effect of positive/negative coping styles between adolescents' rumination and depression; and (3) there was a gender difference in the moderating effect of coping styles in the moderating effect of rumination on adolescent depression, and positive coping styles had a stronger buffering effect in boys. The study reveals the relationship between rumination thinking and adolescent depression and its mechanism of action, and provides the basis for empirical intervention for adolescent depression in different gender groups.