Background Internet addiction (IA) is a risk factor while some psychosocial factors can be protective against depression among adolescents. Mechanisms of IA onto depression in terms of mediations and moderations involving protective factors are unknown and were investigated in this study. Methods A representative cross-sectional study was conducted among Hong Kong Chinese secondary school students (n = 9518). Results Among males and females, prevalence of depression at moderate or severe level (CES-D ≥ 21) was 38.36% and 46.13%, and that of IA (CIAS > 63) was 17.64% and 14.01%, respectively. Adjusted for socio-demographics, depression was positively associated with IA [males: adjusted odds ratio (AOR) = 4.22, 95% CI = 3.61-4.94; females: AOR = 4.79, 95% CI = 3.91-5.87] and negatively associated with psychosocial factors including self-esteem, positive affect, family support, and self-efficacy (males: AOR = 0.76-0.94; females: AOR = 0.72-0.92, p <.05). The positive association between IA and depression was partially mediated by the protective psychosocial factors (mainly self-esteem) across sexes. Through significant moderations, IA also reduced magnitude of protective effects of self-efficacy and family support among males and that of positive affect among both sexes against depression. Conclusions The high IA prevalence contributes to increased risk of prevalent depression through its direct effect, mediation (reduced level of protective factors) and moderation (reduced magnitude of protective effects) effects. Understanding to mechanisms between IA and depression through protective factors is enhanced. Screening and interventions for IA and depression are warranted, and should cultivate protective factors, and unlink negative impact of IA onto levels and effects of protective factors.