Background Despite previous research indicates that academic stress is a risk factor for students' mental health, the mediating and moderating mechanisms underlying this relationship are less known. This study tests the mediation effect of school burnout in the association between academic stress and adolescent depression, and whether this mediation is moderated by self-esteem. Methods A sample of 552 Chinese adolescents in junior high schools (mean age = 14.48 years, SD = 0.98) is obtained through multi-stage cluster random sampling. Mediation and moderation analyses are carried out in SPSS macro PROCESS. Results The association between academic stress and depression is found to be mediated by school burnout (b = 0.200, 95% CI [0.145, 0.263]). Moreover, the effect of school burnout on depression is moderated by self-esteem, with the effect being stronger for adolescents with low self-esteem (b = 0.377, p < 0.001) than for those with high self-esteem (b = 0.218, p < 0.001). Limitations The cross-sectional design of the study does not allow causal inferences. Conclusions These findings contribute to the understanding of how academic stress predicts adolescent depression, and provide practical implications for prevention and intervention programs to protect adolescents' mental health in the school setting.