Rural older adults experience significant mental and physical health challenges. Social convoy theory offers insights into this by assuming functional limitations as antecedent factors of depression through multiple social-related levels. The combined panel data from 2011, 2013, 2015, and 2018 of the China Health and Retirement Longitudinal Study (1,354 individuals with 5,416 responses) was utilized to address the above assumption. The multilevel structural equation modeling was employed to examine whether social activity participation and parent-child interaction mediate the relationship between functional limitations and depressive symptoms at multiple levels. The results indicated that the mediation effects existed only at the between-person level. Specifically, older adults with more functional limitations participated in less social activity, leading to more depressive symptoms, but engaged in more parent-child interaction, reducing depressive symptoms. At the within-person level, depressive symptoms in a given older adult were correlated with functional limitations. In years with greater limitations, older adults participated less in both social activity and parent-child interaction. Interventions should be tailored to older adults’ functional limitations, focusing on social activities for those with typically greater limitations, intergenerational programs for those with fewer limitations, and a combination of both for those experiencing significant increases in limitations.