There is compelling evidence that depressive symptoms (depression hereafter) are common in university students and are considerably influenced by the given socioeconomic context. Being former European colonies, Macau and Hong Kong are China’s special administrative regions, with different sociocultural and economic background compared to mainland China. This study compared the prevalence of depression in university students between Macau, Hong Kong and mainland China and examined the association between depression and quality of life (QOL). The Beck Depression Inventory-II and the World Health Organization Quality of Life—Brief Version (WHOQOL-BREF) were used to measure depression and QOL, respectively.Altogether, 2,312 university students participated in this study. The overall prevalence of depression was 28.9%; 35.2% in Macau, 41.0% in Hong Kong, and 16.8% in mainland China. Compared to the “No depression” group, students with depression had significantly lower QOL scores in the physical, psychological, social and environmental domains. Factors associated with depression were different between the three study sites. Sleep disturbances and high academic pressure were positively associated with depression in all the three samples. In mainland China, male students (OR = 1.68; 95% CI: 1.10–2.56) were more likely to have depression while those who were interested in their major (OR = 0.45; 95% CI: 0.29–0.69) were less likely to have depression. In Macau, students in Grade 3 (OR = 0.56; 95% CI: 0.36–0.89) and those who were interested in their major (OR = 0.58; 95% CI: 0.42–0.81) or had optimistic perspective about their future (OR = 0.51; 95% CI: 0.36–0.73) were less likely to have depression. Nursing students (OR = 1.86; 95% CI: 1.21–2.87) and students with the average score on major subject less than 65 (OR = 3.13; 95% CI: 1.70–5.78) were more likely to have depression. In Hong Kong, students with optimistic perspective about their future (OR = 0.44; 95% CI: 0.22–0.91) were less prone to have depression. Depression is common among Chinese university students, particularly in Macau and Hong Kong. Considering the negative impact of depression on QOL, regular screening and effective treatments should be offered to this population.