Guided by the Theory of Planned Behavior (TPB; Ajzen, 1991), this study aimed to test a hypothesized path model of TPB variables (i.e., attitude toward behavior, subjective norm, perceived behavioral control, and intention) with physical activity (PA) and depressive symptoms. A total of 792 Chinese adolescents (Mage = 16.9; SD = 0.82; 54.5% females) completed previously validated questionnaires assessing their TPB variables, PA, and depressive symptoms. Correlation analysis revealed TPB variables were positively associated with PA (p < 0.01), and negatively correlated to depressive symptoms (p < 0.01). The path analyses indicated that the hypothesized model produces a goodness of fit (χ2/df = 16.14/5, CFI = 0.99, RMSEA = 0.06). The findings support the theoretical tenets of TPB and provide empirical evidence of the psychosocial mechanism of PA and depressive symptoms in Chinese adolescents. It suggests that building PA intervention strategies while considering the TPB framework may promote adolescents’ physical and mental health.