Depressive symptoms are common in adolescents, while its prevalence trend in adolescents is seldom reported. In addition, few studies focus on adolescents without depressive symptoms. This study aimed to reveal the trend and predictors of persistent depression/non-depression among Chinese adolescents over three-year period. Three-wave data were collected from T1 to T3 in a sample from six junior high schools in Shenzhen, China. The 20-item of Center for Epidemiologic Studies Depression Scale was used, with scoring ≥16 as depression. Of all 1301 adolescents, 33.4%, 15.5% and 9.0% reported depressive symptoms at baseline, T2 and T3 respectively, while 66.6%, 47.7% and 39.6% reported non-depressive symptoms at three time-points. At the individual level, baseline positive identity and general positive youth development significantly increased persistent non-depression at T2 and T3. At the family level, baseline family harmony and communication consistently prevented persistent depression at T2 and T3, while family communication consistently promoted non-depression. At the school level, baseline awareness of no expectation from teacher and poor interpersonal relationship consistently increased persistent depression and prevented non-depression. The incidence of depression in adolescents aged 11-15 is not high. The rate of persistent non-depression is approximately 30% higher than that of persistent depression, and both have a downward trend over years. Positive youth development and healthy family function are protective factors of depression, while school maladjustment decreases persistent non-depression. During early adolescence, more attention should be paid to family function and school maladjustment to promote non-depression in adolescents from a new broader view.