Although subjective well-being has been widely discussed as being one of the important indicators of clinical depression, few studies have explored how it relates to trait depression. In particular, increasing the number of positive experiences has long been a potential goal for depression-related clinical interventions, but the mechanisms by which such interventions work in countering depression have been poorly studied. Grounded in the cognitive theory of depression, the current study aimed to address this specific gap by testing the mediating effects of community feeling and self-compassion between trait depression and subjective well-being. A survey of 783 college students found that trait depression was not only able to directly and negatively predict individual subjective well-being but also indirectly predict individual subjective well-being through the mediating role of community feeling and self-compassion alone and through the chain mediating role of self-compassion from community feeling. These findings reveal the internal mechanisms of trait depression that, to some extent, impede subjective well-being and offer certain guiding significance for the self-regulation of interventions for clinical and non-clinical individuals with trait depression.