Objective: The current study aimed to investigate the effect of SNS use on graduate students’ depression and further explored the effect of negative social comparison and an individual’s implicit personality theory. Methods: Scales for Social Networking Site Use Intensity, the Negative Social Comparison Measure, the Implicit Personality Theory Inventory, and CES-D were used to investigate 1792 graduate students from a full-time university in Wuhan. Result: (1) Social networking site use was positively correlated with negative social comparison and depression; (2) the mediating effect of negative social comparison was significant in social networking site use’s influence on depression; (3) after controlling for negative social comparison, graduate students’ use of SNS could negatively predict depression; and (4) the mediation effect of negative social comparison was moderated by an individual’s implicit personality theory. Specifically, the mediation effect was more pronounced among the entity theorists, while the graduate students’ incremental implicit personality theory may buffer the depressive effect of negative social comparison. Conclusions: Negative social comparison mediates the relationship between SNS use and depression; in addition, individual differences in implicit personality theory (the entity theorist vs. incremental theorist) moderate the link between negative social comparison and depression.