Previous studies have implied that stress is a risk factor for depression, but relatively little is known about how healthy individuals' stress dynamically affects depression as a mood in daily life. Therefore, an ecological momentary assessment study was conducted among 141 college students to test the temporal dynamic effect of daily perceived stress on depression and the underlying mediating and moderating role of rumination. Perceived stress, state rumination, and depression were measured using self-compiled questionnaire three times a day over 12 days. Trait rumination was measured with the Nolen-Hoeksema Ruminative Response Scale. Hierarchical linear models with HLM 7.0 were adopted to examine the mediation and moderation effects. In the mediation model, the greater the daily perceived stress at time t, the higher the state rumination at time t + 1, and state rumination at t + 1 positively predicted college students' depression at t + 2. In the moderation model, trait rumination significantly facilitated perceived stress-induced depression. These results verified that daily perceived stress could affect college students' depression directly or indirectly through the critical mediating mechanism of state rumination, and this effect would be exacerbated with a higher level of trait rumination.