Depression in children and adolescents has become a serious public health problem worldwide. The objectives of this study were twofold: first, to investigate the status of depression among children and adolescents on the Qinghai-Tibet Plateau, the highest plateau in the world, with an average altitude of more than 4200 m (13,776 feet), and second, to examine the associations among prosocial behavior, resilience, and depression. A cross-sectional study was conducted among children and adolescents from Yushu Prefecture on the Qinghai-Tibet Plateau. A total of 11,160 participants aged 10–17 years (Mage = 14.34 years, SD = 1.77; 51.4% girls) were included. Self-reported depression, resilience, and prosocial behavior were assessed. The prevalence of depression was 29.2% in the current study. Higher levels of prosocial behavior were significantly associated with lower levels of depression (b = 0.25, p < 0.001). Furthermore, resilience significantly moderated the relationship between prosocial behavior and depression (b = 0.08, p < 0.001); that is, resilience enhanced the protective role of prosocial behavior in depression. These findings indicate that resilience may play an important role in the associations between prosocial behavior and depression, which suggests that improving resilience is essential for the prevention and intervention of depression among children and adolescents on the Qinghai-Tibet Plateau.