Although much evidence has demonstrated the positive relationship of active school travel (AST) and physical health, little is known about the relationship of AST and mental health indicators among early adolescents, especially in Chinese populations. Thus, this study aimed to investigate the relationship of AST with depressive symptoms and its sex as well as age difference among early adolescents from Shanghai urban areas, China. 6478 adolescents (mean age = 13.6) in urban area were recruited, of whom boys accounted for 46.2%. A self-reported questionnaire in Chinese was used to collect data on AST and depressive symptoms, and other control variables. Multivariable logistic regression analyses were used to explore the relationships of AST with depressive symptoms. Of all included participants, 53.2% of adolescents reported being active in AST without sex difference. The prevalence of depressive symptoms was 19.2% without sex difference. AST was associated with reporting no depressive symptoms in adolescents (adjusted OR = 1.20, 95%CI: 1.06–1.36). However, the relationship was significant in boys (adjusted OR = 1.34, 95%CI: 1.11–1.60), in those who were grade 8 (adjusted OR = 1.25, 95%CI: 1.01–1.55) and 9 (adjusted OR = 1.29, 95%CI: 1.01–1.65) adolescents. AST may play an important role in preventing depressive symptoms among early adolescents. However, the relationship of AST with depressive symptoms differed by sex and age. More research is encouraged to explore the mechanism linking AST and depressive symptoms among adolescents, especially in different contexts.