<p>Mental health issues among college students worldwide are becoming increasingly prominent. As a large and distinct subgroup within the student population, first-generation college students warrant particular attention in terms of their mental well-being. Research exploring the relationship between depression and general self-efficacy has faced limitations, as it has relied primarily on cross-sectional data and has rarely focused on this specific cohort. This longitudinal study examines the relationship between depression and general self-efficacy among first-generation college students in China. The findings revealed a significant negative correlation between depression and general self-efficacy. Furthermore, cross-lagged analysis indicated that general self-efficacy significantly predicts subsequent depression levels, whereas the negative predictive effect of depression on general self-efficacy warrants further investigation. These findings underscore the importance of enhancing general self-efficacy in preventing and alleviating depression and mental health issues among first-generation college students. These findings offer new insights for promoting the mental health development of this cohort and informing mental health education initiatives in higher education institutions.</p>