The COVID-19 pandemic amplified the need for digital health literacy aimed at reducing the psychological distress levels of people, including in-school adolescents. Available evidence suggests the presence of a gender health literacy gap among adolescents in schools in Ghana and beyond. Previous literature has established the role of age in digital health literacy levels. What is unknown is how gender and age interact with digital health literacy levels to influence the levels of depression. This research assessed how gender digital health literacy gap across different age groups relates to the depression levels of adolescents during the COVID-19 pandemic. A cross-sectional survey was conducted using 942 students from secondary schools in Ghana who were sampled using the stratified sampling technique. Study participants completed the digital health literacy scale and World Health Organization (WHO-5) well-being index. Results from the two-way analysis of variance revealed a nonsignificant interaction between age and gender on digital health literacy, with significant main effects for gender and age. Further analysis from the moderated moderation analysis revealed that gender and age interact to moderate the relationship between digital health literacy and depression. The findings of this research stress the need for gender-age-specific intervention programs on digital health literacy to moderate depression levels during pandemics and other stressful situations.