Little is known on the association between movement behaviors including physical activity (PA), screen time (ST) and sleep (SLP) with depression in adolescents. This study aimed to explore the associations of PA, ST and SLP with depressive symptoms in adolescents. A total of 1,331 middle school students participated in this survey and provided valid data pertaining to the study variables. Self-reported questionnaires were used to collect information on participants' sociodemographic parameters. The Health Behavior in School-aged Children Questionnaire was used to assess the PA (days for moderate to vigorous PA), ST (daily hours of ST) and SLP (daily hours of SLP). Study participants' depressive symptoms were assessed using the Children's Depression Inventory. Generalized linear models were used to estimate the associations of PA, ST and SLP with depressive symptoms. Of all the 1331 study participants, boys accounted for 51.31% and percentage of 7th, 8th and 9th graders were 52.44%, 23.22% and 24.34%, respectively. After controlling for sex, body mass index, grade, ethnicity, residence, siblings, perceived family affluence, father and mother educational level, only ST was positively associated with depressive symptoms (beta = 0.17, p = 0.005). This study suggests that excessive ST would be detrimental to depressive symptoms in adolescents. It may be effective to reduce ST for depression intervention or prevention. Future studies are encouraged to use an improved study design to confirm or negate this study's research findings.