Purpose <p>Depressive symptoms are major public health concern worldwide, especially among adolescents. This study aimed to reveal the mechanism underlying the association between childhood maltreatment and adolescent depressive symptoms by examining the mediating effect of bullying victimization and the joint moderating effect of school connectedness and gender.</p> Methods <p>A total of 1,625 Chinese adolescents (51.4% girls; mean age at Time 1 = 13.58 ± 0.80 years) completed the relevant questionnaires at two time points with a one-year interval. PROCESS for SPSS was adopted to test hypotheses and answer the research questions.</p> Results <p>The results revealed a mediation process in which childhood maltreatment increased adolescents’ risk of depressive symptoms by exacerbating bullying victimization (indirect effect = 0.04, SE = 0.01, 95% CI: [0.02, 0.06]). Furthermore, school connectedness moderated the relationship between childhood maltreatment and bullying victimization (<i>β</i> = −0.05, <i>p</i> &lt; 0.05), with the association weakening as school connectedness increased. The moderating effect of school connectedness on the relationship between bullying victimization and depressive symptoms differed by gender: higher school connectedness strengthened the association among girls (△ <i>B</i>_{<i>simple</i>} = 0.15, <i>p</i> &lt; 0.01), whereas no significant moderating effect was observed among boys (△ <i>B</i>_{<i>simple</i>} = − 0.05, <i>p</i> &gt; 0.05).</p> Conclusions <p>School connectedness may reduce depressive symptoms by disrupting the cycle of victimization between childhood maltreatment and bullying victimization; however, its protective effect is limited. Therefore, reducing school bullying and promoting school connectedness may be key targets for the prevention and intervention of adolescent depression.</p>