Air pollution, especially the primary pollutant smog, causes enormous impacts on the mental and physical health of people as well as social development. The influence of the smog on mental health has received increasing attention in the West. However, very few empirical studies have addressed this issue in China. The present research aims to creatively explore the impact of the PM2.5 density and depression on the growth rate of regional GDP. Furthermore, through examining the mediating role of depression between the PM2.5 density and the growth rate of regional GDP, this study examines a possible mental mechanism underlying the effect of the PM2.5 density on the economy development. The researchers collected the PM2.5 densities, depression indices and the growth rates of regional GDP of 31 regions in China (including provincial capitals and directly-controlled municipalities) from 2013 to 2015. The indicator of depression used in this research was the depression index, which was based on the searching amount of the key word “depression” collected by Baidu Statistics Platform. The results showed that: (1) Between January 2013 and December 2015, there was a significant positive correlation between the PM2.5 density and the depression index of all regions (r= .33, p< .01), and the negative correlation between the depression index and the regional GDP growth rate was also quite obvious(r=-.37, p< .01); (2) Depression index played an absolute mediating role between the density of PM2.5 and the regional GDP growth rate; (3) During the period of January 2013 to December 2015 in Shanghai, the cross correlation between PM2.5 concentration and depression index was significant and reached its maximum value when lag=-6 (rR = .38, p< .05). Conclusion: The relationship between the smog and regional GDP growth rate might be influenced by the government’s macro-regulation and the whole economic environment. However, the negative effect of smog on emotions remains stable. The absolute meditating effect of depression on the PM2.5 density and regional GDP growth rate shows that smog might make people depressed, thus influence the regional economy growth. To some extent, this mediating model reveals the mental mechanism of how environment influences the social and economic development.