Previous studies have demonstrated that poor quality of parental attachment and low levels of empathy are associated with adolescent’s depressive symptoms. However, the relationships between parental attachment, empathy and depressive symptoms and how they differ by gender remain unclear. The present study aimed to clarify the distinct associations among both paternal and maternal attachments and depressive symptoms via cognitive empathy and affective empathy and whether the pathways were different for adolescent males and females. A sample of 374 Chinese adolescents participated in the survey and completed scales of parental attachments, depressive symptoms and empathy. Results revealed affective empathy partially mediated the relationship between maternal attachment and depressive symptoms and cognitive empathy did not emerge as a significant mediator. Gender showed moderating effects on associations among parental attachments, empathy and depressive symptoms. Specifically, paternal attachment was only significantly associated with affective empathy in adolescent males, while adolescent females showed significant associations between maternal attachment and affective empathy, and the pathway from paternal attachment, cognitive empathy/affective empathy to depressive symptoms. The findings indicate there are multiple pathways from parental attachments to depressive symptoms in adolescents, and gender plays an important moderating role.