With an increasing number of critically ill patients, attention should be paid to both their physical health and mental health. The objective of this study is to examine the links between depression and social capital among critically ill patients. Data for 1043 patients with critical illnesses was collected with a stratified cluster random sampling method in rural Shandong, China. Depression symptoms were measured using a short form version of the Center for Epidemiologic Studies Depression Scale (CESD-10) and the total scores of them were dichotomized. We associated structural social capital with social networks, social participation, and social support. Cognitive social capital includes the degree of availability of social trust and reciprocity. Binary logistic regression was used to explore whether social capital was significantly associated with depression among patients with critical illnesses. We found that 68.5% of the critically ill patients in our sample population had depression. CESD-10 scores were negatively correlated with social capital, including occupations of their frequent contacts, social trust in relatives and friends, distance to the nearest medical institution and medical assistance convenience from non-spouse. In addition, low economic status, and low self-rated health were more significantly correlated with depression in critically ill patients. Our findings suggest that more attention should be paid to the mental health of critically ill patients and more formal society, community and government support form given, particularly in rural China.