Background: Depression is a commonly studied mental disorder affecting Chinese internal (i.e., rural-to-urban) migrants. Social resources effectively reduce depression for many communities experiencing adversities. This study evaluated social-level risk factors for depression between internal migrant and non-migrant Chinese living in mainland China. Method: We conducted a random population-level survey among migrants and local residents living in Guangzhou, China. Data were collected using face-to-face interviews. We used items from the Social Support Rating Scale to measure social resource dimensions, including social network size, emotional support, structural social capital, and one (self-developed) item that measured belonging (an element of social cohesion). The Patient Health Questionnaire-9 measured depression. Correlation and regression analyses of the partial sample (n = 678) were conducted to estimate the association between social resources and depression for migrants (n = 383) and non-migrants (n = 295). Results: Stratified regression analysis demonstrated that for migrants, greater belonging was associated with less depression, while age and larger friendship social network size was related to less depression among non-migrants. Conclusion: Differences emerged in our sample with regard to the types of social resources that are protective against depression between migrants and non-migrants. Interventions that provide opportunities for migrants to better integrate and feel welcomed into their new communities may reduce their depression symptoms.