Objective: Studies have reported that rural elders in China have higher levels of depression than their urban peers. We aimed to examine the extent to which four sets of factors (socioeconomic status [SES], health care access, health status, and social support and participation) account for such rural-urban differences. Method: Cross-sectional data from the 2011 China Health and Retirement Longitudinal Study were analyzed. A representative sample (N = 5,103) of older Chinese (age 60+) was included. Depressive symptoms were measured by the 10-item Center for Epidemiologic Studies Depression Scale (CESD-10). Multilevel linear regression was conducted. Results: Rural elders had more depressive symptoms than urban elders. When SES at the individual, household, and community level was simultaneously controlled, the rural-urban difference lost its statistical significance. Health status, social support, and social participation accounted for some, whereas health care access explained almost none, of the rural-urban difference. Discussion: Results suggest that SES is the predominant factor accounting for the rural-urban depression gap in China.