Depression is one of the most common psychological problems in adolescence. Familial and school-related factors are closely related to adolescents' depression, but their combined effects need further examination. The purpose of this study was to explore the combined effects of risk/protective factors of depression in family and school domains using a sample of Chinese adolescents differing in gender, age group and left-behind status. A total of 2455 Chinese students in primary and secondary school participated in the cross-sectional survey and reported multiple risk/protective factors in family and school environments and depressive symptoms. Association rule mining, a machine learning method, was used in the data analyses to identify the correlation between risk/protective factor combinations and depression. We found that (1) Family cohesion, family conflict, peer support, and teacher support emerged as the strongest factors associated with adolescent depression; (2) The combination of these aforementioned factors further strengthened their association with depression; (3) Female gender, middle school students, and family socioeconomic disadvantages attenuated the protective effects of positive relational factors while exacerbating the deleterious effects of negative relational factors; (4) For individuals at risk, lack of mental health education resources at school intensified the negative impact; (5) The risk and protective factors of depression varied according to gender, age stage and left-behind status. In conclusion, the findings shed light on the identification of high-risk adolescents for depression and underscore the importance of tailored programs targeting specific subgroups based on gender, age, or left-behind status.