The goal of this study was to examine the relationship between depression and aggression among Chinese migrant adolescents. The moderating roles of family and peer support were also tested separately. Participants were 6,970 4th to 9th grade migrant adolescents in Beijing, China. Depression, aggression, family support, and peer support were assessed by a set of self-report questionnaires. There was a positive association between depression and aggression. Although family support was negatively associated with aggression, the interaction between family support and depression was not significant. Peer support moderated the association between depression and aggression, in which high perceived peer support was linked to a stronger relationship between depression and aggression. These results indicated co-occurrence of depression and aggression, as well as the unique role of peer support in the impact of migrant adolescents’ mental health and problematic behaviors. Future directions are also discussed.