The objectives of this paper were to examine the risk of depression and depressive symptoms among Han and minority children and adolescents in rural China, the links between academic performance and depressive symptoms, and the prevalence of these links among specific subgroups. A total of 8392 4th, 5th, and 6th grade students at 105 sample rural schools in eight low-income counties and districts in a prefectural-level city in Southwestern China were randomly selected using a three-step sampling strategy. A total of 51% of the sample were female (SD = 0.50), and the age range was 7 to 19 years (mean = 11.35 years; SD = 1.05). Using the Patient Health Questionnaire 8-item depression scale, the prevalence of depressive symptoms in the sample was assessed, while data on students’ academic performance (standardized math test) and demographic characteristics were also collected. Our results show that the rates of major depression were 19% for Han students, 18% for Tibetan students, and 22% for Yi students; the rates of severe depression were 2% for Han and Tibetan students, and 3% for Yi students. Yi students were at significantly higher risks for major and severe depression than Han students. We conducted multivariate regression and heterogeneous analyses. Academic performance was negatively and significantly correlated to depressive symptoms. Across the whole sample, students with lower math scores, minority students, boys, younger students, and students with migrant parents were most vulnerable to depressive symptoms. The heterogeneous analysis suggests that among poor-performing students, subgroups at higher risk for depression include boys, non-boarding students, and students whose mothers had graduated from high school or above. These findings indicate a need to improve mental health outcomes of rural Han and minority primary school students, targeting academic performance for possible intervention.