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Background Exploring etiological clues to adolescent depression, especially in female adolescents, might be helpful to improve the social environment of female adolescents. The aim at this study is to explore psycho-social factors of female adolescents with high depressive symptomatology and gender differences in depressive symptoms among Chinese adolescents. Method We examined 4100 adolescents from Wuhan city and Jianli county via a cross-sectional study. Depressive symptomatology was screened through the Chinese version of Center for Epidemiology Studies Depression Scale. Multivariate logistic regression was performed to explore the factors related to high depressive symptomatology in female and male adolescents, respectively. Results The prevalence of high depressive symptomatology in female and male were 38.9 and 30.2% respectively. The psycho-social factors of high depressive symptomatology in female adolescents were age (Adjusted odds ratio [aOR] = 1.201, 95% confidence interval [CI], 1.076 ~ 1.341), single parent family (aOR = 2.004, 95%CI, 1.448 ~ 2.772) and fathers’ education level (compared to primary school and below, [Junior middle school, aOR = 0.641, 95%CI, 0.439 ~ 0.934; Senior middle school, aOR = 0.603, 95%CI, 0.410 ~ 0.888; College degree and above, aOR = 0.639, 95%CI, 0.437 ~ 0.936]). Conclusion Fathers’ education level was associated with high depressive symptomatology in female adolescents. Female adolescents whose father with primary school education or below deserves more attention. Further epidemiologic researches need to be conducted to explore the different risk factors between female and male adolescents in China.