The primary purpose of this study was to utilize a multidimensional perspective to examine whether children's self-concept served as a mediator between academic achievement and depression, and to further investigate whether this mediation effect was moderated by the ages of children. The participants consisted of 632 Taiwanese children in the grades 3 to 6. In the mediation analyses, results found that self-concept, representing a multifaceted and hierarchical structure, was intermediate in the relationship between academic achievement and depression. In further moderated mediation analyses, results indicated that the mediation effect of academic achievement on depression was moderated by the ages or children, with a higher effect for younger children (grades 3-4) than older children (grades 5-6). Finally, this study discussed several empirical and methodological implications of the findings.