Few studies have examined the complex relationship of migration stress and depression with sexual risk behaviors among migrants. The relationship between migration stress and sexual risk behaviors may be mediated by depression, and the mediation process may be modified by social capital. The study aims to investigate this moderated mediation mechanism among rural-to-urban migrants. Data were collected from rural-to-urban migrants in China. Migration stress, depression, and social capital were measured with validated scales and used as predictor, mediator and moderator, respectively, to predict the likelihood of having sex with risk partners. Mediation and moderated mediation models were used to analyze the data. Depression significantly mediated the migration stress-sex with risk partner relationship for males (the indirect effect [95%CI] = 0.36 [0.08, 0.66]); the mediation effect was not significant for females (0.31 [-0.82, 0.16]). Among males, social capital significantly moderated the depression-sex with risk partner relation with moderation effect -0.12 [-0.21, -0.04], -0.21 [-0.41, -0.01] and -0.17 [-0.30, -0.05] for total, bonding and bridging capital respectively. Social capital may weaken the association between migration stress and sexual risk behavior by buffering the depression-sexual risk behaviors association for males. Additional research is needed to examine this issue among females.