During the past few years, more and more international students study in China which has become the largest destination for studying abroad in Asia. In order to ensure international students complete studies successfully, their mental health couldn’t be ignored. Previous studies mainly focused on cross-cultural adaptation of international students in China. A few research has focused on international students’ depression. Among all affecting factors, cross-cultural communication competence has been noted to be a vital predictor. Cross-cultural communication competence is negatively linked to international students’ depression. Most research to date has only focused on the direct link between cross-cultural communication competence and international students’ depression, however, little is known about the specific mechanisms underlying the association between cross-cultural communication competence and depression. According to the communication theory of identity, personal–enacted identity gap and personal–relational identity gap might be important factors playing chain mediation role in the association between cross-cultural communication competence and depression. Determining the mediators would be significant to offer guidelines to prevention and intervention of international students’ depression. Therefore, this study examined the relationship between cross-cultural communication competence and international students’ depression as well as the potential mediating roles of identity gaps in such a relationship. To explore the relationships among cross-cultural communication competence, identity gaps and depression in international students, we recruited 301 international students from an university in Wuhan. Participants anonymously completed Cultural Intelligence Scale, Personal–enacted Identity Gap Scale, Personal–relational Identity Gap Scale, and Depression Scale. All statistical analyses were completed by SPSS21.0 and PROCESS. The main findings of this study were as followings: (1) Correlation analysis showed that cross-cultural communication competence was negatively correlated with depression, while personal–enacted identity gap and personal–relational identity gap were positively correlated with depression. (2) Multiple mediation modeling indicated that cross-cultural communication competence did not directly affect depression, but indirectly affected depression through two pathways. Specifically, cross-cultural communication competence could affect depression through the mediating effect of personal–enacted identity gap, and through multiple mediating role of personal–enacted identity gap and personal–relational identity gap. These results may benefit a better understanding of the relationship between cross-cultural communication competence and depression in international students in China as well as its underlying mediating mechanism (i.e., how cross-cultural communication competence influences depression). In addition, the present study can provide some available suggestions for preventing and intervening depression in international students. Furthermore, future research could pay more attention to following aspects: (1) Applying time series design to make causal claims and provide a number of additional advantages. (2) Focusing on more cultural attributes of different international student groups, such as communication style, cultural distance. (3) Exploring the relationship among online cross-cultural communication, identity and mental health.