In China, it is critical to help older adults cope with depression due to the emerging impacts of factors such as increased life expectancy and the "one-child" family planning policy. Meanwhile, differences in retirement age have different effects on health in older adults of different gender. The relationship of gender differences in social capital and depression across the elderly population was unclear. Focusing on this demographic, this study conducted a telephone survey to explore the relationship between social capital and depression. Referring to electronic medical records, we randomly selected 1,042 elderly respondents (426 men, 616 women) from four areas in Hangzhou. We used social capital measurements and the Geriatric Depression Scale (GDS-15) to assess social capital and depression, respectively, then employed a multivariate logistic regression and structural equation modeling to examine the associations between factors, along with a consideration of gender. This study was discovered that differences in both income and morbidity contributed to differences in social capital and depression. In our sample of elderly respondents, we also found gender-based differences in cognitive and structural social capital. Compared to men, women were more likely to attain higher social capital and less likely to develop depression. At the same time, social networking and social engagement had negative impacts on depression in women, which was not the case for men. We found that lower reciprocity (men and women), social work (men), and trust (women) indicated higher risks of depression. Reciprocity and social networks were significantly and negatively correlated with depression among male respondents; in the male model, factors of trust, reciprocity, and social participation had positive effects on reducing the risk of depression, while social networks had a negative effect. For elderly persons, these findings suggest that mental health is affected by differences in social capital caused by policy differences and cultural differences caused by gender differences.