The present study aims to investigate the pathways through which filial piety and cognitive development work on the development of depressive symptoms in adolescents as well as the trigger of adolescents' depressive symptoms (e.g., academic pressure). Two hundred fifty-seven Chinese adolescents (128 females and 129 males) participated in the study from Grade 7 to Grade 9. Results showed that both filial piety and cognitive autonomy significantly contribute to the development of adolescents' depressive symptoms and academic pressure. But reciprocal filial piety (RFP) and authoritarian filial piety (AFP) as two coexisting aspects of filial piety contribute to depressive symptoms in opposite directions. RFP provides significant protection against adolescents' depressive symptoms directly and indirectly through promoting the development of adolescents' cognitive autonomy and alleviating adolescents' academic pressure. In contrast, AFP positively contributes to adolescents' depressive symptoms by hindering the development of cognitive autonomy and intensifying academic pressure.