ObjectiveTo explore the mechanism of aerobic capacity on depression in school-age children, and the multiple mediators of the five dimensions of psychosocial functioning (emotional symptoms, conduct problems, peer problems, prosocial behavior and hyperactivity) between aerobic capacity and depression. MethodsFrom October to December, 2021, pupils of Grade two to Grade five from two primary schools were chester-sampled and investigated using 20-meter multistage shuttle run test, Depression Self-Rating Scale for Children, Self-reported Strengths and Difficulties Questionnaire. ResultsA total of 391 pupils underwent 20-meter multistage shuttle run test, and 312 out of them answering the questionnaires, and 294 questionnaires were valid. Aerobic capacity, depression, emotional symptoms, peer problems, prosocial behavior and hyperactivity were significantly correlated with each other (|r| > 0.127, P < 0.05) (except aerobic capacity and peer problems, and emotional symptoms and prosocial behavior). The results of the multiple mediation effect model showed that aerobic capacity could directly and negatively predict depression, and the mediating effects of emotional symptoms, peer problems, prosocial behavior and hyperactivity were significant, accounting for 34.37%, 12.54%, 34.06% and 17.80% of the total mediating effect, respectively. ConclusionThe aerobic capacity could not only directly affect depression of school-age children, but also improve their psychosocial functioning by reducing emotional symptoms, peer problems and hyperactivity, and increasing prosocial behavior, to indirectly affect their depression.