ObjectiveThis study aims to verify the moderating roles of lifestyle factors and age between body mass index (BMI), BMI trajectory and depressive symptoms of Chinese adults through a prospective design. MethodsThe participants who are 18 years old and above from the China Family Panel Studies (CFPS) were included in the 2016 baseline and 2018 follow-up research. BMI was calculated according to self-report weight (kilogram) and height (centimeter). Depressive symptoms were evaluated via the Center for Epidemiologic Studies Depression (CESD-20) scale. Inverse probability-of-censoring weighted estimation (IPCW) was used to check whether selection bias existed. Modified Poisson regression was performed to calculate prevalence and risk ratios as well as 95% confidence intervals. ResultsAfter adjustment, it was found that the positive associations of persistent underweight (RR = 1.154, P < 0.001) and normal weight → underweight (RR = 1.143, P < 0.001) with 2018 depressive symptoms were significant among middle-aged people, while the negative association of persistent overweight/obesity (RR = 0.972, P < 0.001) was significant in young adults. Notably, smoking moderated the relationship between baseline BMI and subsequent depressive symptoms (interaction P = 0.028). Also, exercise regularly and exercise duration weekly moderated the relationships of baseline BMI (interaction P = 0.004 and 0.015) and trajectories of BMI (interaction P = 0.008 and 0.011) with depressive symptoms among Chinese adults, respectively. ConclusionWeight management strategies for underweight and normal weight → underweight adults should pay attention to the role of exercise in maintaining normal weight and improving depressive symptoms.