Adolescence was an important period during which adolescents developed lots of psychical and psychological characteristic so as to be prepared for being adults. However, faced with great psychical changes, mental changes as well as developmental crises, adolescents were especially likely to be depressive. According to researches in both China and abroad, the prevalence of depression among adolescents was very high. It ranged from 20% to 44% and grew fast with each passing day at the same time. Therefore, many researchers has done lots of work to find out factors that had significant effects on adolescents’ depression. In the past few years, researchers have shown increasing interest in adolescents’ peer attachment, because it has been demonstrated that peer attachment was an important protective factor for adolescents’ social development and mental health. However, there were few researches focused on the protective effect of peer attachment on adolescents' depression. Moreover, developmental psychologists pointed out that adolescents were increasingly rebellious toward parents with the development of self-awareness and their peer intercommunication would increase gradually. These made peer attachment became an important source of social support, needs of security and belonging, which were all important protective factors for adolescents to avoid from being depressive. In addition, previous researches showed that social support and self-esteem had important effects on depression and both social support and self-esteem were negatively correlated with depression. In order to explore the relationship among peer attachment, social support, self-esteem and depression as well as mechanism of peer attachment on adolescents’ depression, this study focused on the mediating role of social support and self-esteem between peer attachment and adolescents' depression and its’ learning stage difference. A survey research method was adopted in which Inventory of Peer Attachment, Perceived Social Support Scale, Self-Esteem Scale as well as Center for Epidemiological Studies Depression Scale were administered to 668 middle and high school students. Data were collected and analyzed with SPSS 17.0，and the bias-corrected percentile Bootstrap method was used to analyze the serial mediating roles of social support and self-esteem between peer attachment and adolescents' depression. The results indicated: (1) the relationships between each pair of peer attachment, social support and self-esteem were significantly positive, while the three were negatively correlated with depression. Peer attachment not only had direct negative effect on depression, but also could significantly predict social support and self-esteem; social support could significantly predict self-esteem; both social support and self-esteem could significantly negative predict depression. (2) For all the participants, peer attachment not only had direct negative effect on depression, but also could affect adolescents’ depression through the mediating role of self-esteem. There are learning stage difference on the mediating role of social support and the serial mediating role of both social support and self-esteem. These findings highlighted the acting mechanism of peer attachment on adolescents’ depression through the serial mediating role of social support and self-esteem. Peer attachment influenced adolescents' depression through social support and self-esteem as well as their combined effect. Adolescents with positive peer attachment, such as peer trust, would get more social support and have higher self-esteem, and finally have lower level of depression.