<p>Research on protective factors that may “interrupt” the negative impact of cumulative family risk on psychological difficulties is critical for optimal youth development. This two-wave longitudinal study, with a one-year interval, aimed to examine the associations between family risk by domain (i.e., socioeconomic, parenting, and relationship risk) and depression, and how these associations may be moderated by psychological resilience and school connectedness in urban and rural Chinese adolescents. An initial sample of 1721 urban and rural Chinese adolescents (<i>N</i> = 845 and 876, <i>M</i>_<i>age</i> = 15.35 and 15.39 years, respectively) and their parents. Data on family risk by each domain, psychological resilience, school connectedness, and adolescent depression were collected using self-report. Results showed that the longitudinal association between family risk and depression was moderated by psychological resilience and school connectedness in different ways, and their moderating roles differed between the urban and rural samples. In urban adolescents, school connectedness functioned as a protective-reactive factor against socioeconomic risk and a protective stabilizer against relationship risk. In contrast, among rural adolescents, psychological resilience may alleviate the harm of socioeconomic risk in a protective-enhancing manner. The findings highlight the different implications of psychological resilience and school connectedness for the longitudinal impact of family risk by domain and depression in urban and rural adolescents in contemporary China.</p>