Objective: This study aimed to investigate interactions among physical fitness, sleep quality, sedentary behavior, and depression among female college freshmen. Participants: A cohort of 1,514 Chinese female college freshmen (M[subscript age] = 18.8 ± .63) were recruited from four universities. Methods: Participants completed a survey assessing depression, sleep quality (sleep duration and sleep onset latency), and sedentary behavior, and performed physical fitness measurements. Results: Physical fitness indexes were associated with sleep quality and sedentary behavior (ps < 0.05) but not with depression. Depression was positively associated with sedentary behavior and sleep onset latency, but negatively associated with sleep duration (ps < 0.01). The model tests revealed that sleep quality ([beta] = -0.57, p < 0.01) and sedentary behavior ([beta] = 0.14, p < 0.01) served as mediators between physical fitness and depression, respectively. Conclusions: Increasing sleep quality and minimizing sedentary behavior may build resilience to depression among Chinese female college freshmen.