Depressive symptoms are a common mental health problem among adolescents, which may affect their physical and mental health development and impose heavy burdens on individual families and society. This study aimed to examine the associations between sleep duration, academic pressure, and depressive symptoms among Chinese adolescents and to construct the mediation model to explore the mediating effect of sleep duration. The data are from the China Family Panel Studies (CFPS). Methodologically, the aforementioned associations were explored by constructing a structural equation model and applying multivariate multilevel logistic regression. In this study, we found that approximately 6.49% of the 3724 Chinese adolescents had depressive symptoms. Sleep duration of <6 h/night (OR = 2.39, 95%CI = 1.33–4.32) and high/maximum academic pressure (high: OR = 1.43, 95%CI = 1.02–1.99; maximum: OR = 2.43, 95%CI = 1.58–3.73) were both associated with an increased risk of depressive symptoms in adolescents. Meanwhile, the multiplicative interaction between sleep duration and academic pressure was significantly associated with depressive symptoms in adolescents (p < 0.001). The sleep duration played a partial mediating role in the relationship between academic pressure and depressive symptoms (a*b = 0.006, 95%BootCI = 0.001–0.012). Our study highlights that it is essential to mitigate the academic pressure of adolescents to increase their sleep duration and further reduce the occurrence of depressive symptoms by adopting corresponding preventive measures.