Stressful life events (SLEs) closely correlates with depressive symptoms. Although vulnerability-stress model suggests SLEs interacted with dysfunctional attitudes (DA) to predict depression, the mediation role of DA is poorly understood. Therefore, this study intended to investigate the mediating role of DA and the moderating role of sex between SLEs and self-reported depression. A cross-sectional survey was conducted with a sample of 7769 Chinese college students. Participants were assessed in terms of self-reported SLEs, DA and depression variables. Results showed that there were significant sex differences in both SLE and DA. DA mediated the association between SLE and self-reported depression. The moderated mediation model analysis showed that the interaction of SLEs and sex significantly predicted DA in mediator variable model and self-reported depression in dependent variable model. Results indicated that DA partially mediated the association between SLEs and self-reported depression, and sex moderates the association between SLEs and both DA and self-reported depression, which females have bigger changes of DA and depressive symptoms across low and high levels of SLEs than males.