There is a growing but limited literature on psychological distress among Chinese students, especially the impact of the COVID-19 pandemic, using a longitudinal comparison between in school and at home. This study aimed to assess the psychological status of adolescents in school and related risk and protective factors. We surveyed 13,637 adolescents before the COVID-19 outbreak (T1) and 10,216 after two months of home confinement (T2). The 9-item Patient Health Questionnaire (PHQ-9) was used to assess depressive symptoms or the severity of depression among the adolescents. In addition, the Childhood Trauma Questionnaire and the Connor-Davidson Resilience Scales were also used to screen for experiences of abuse and neglect and to measure resilience in adolescents. At baseline, 22.34% reported depressive symptoms. At T2, this rate decreased to 14.86%. When adolescents were in school, age (P < .0001), gender (P < .0001), and experience of abuse (P < .0001) were risk factors, while parent-child relationship (P < .0001), and resilience (P < .0001) were protective factors for depressive symptoms. After leaving school, age and physical abuse were no longer risk factors for depression. The negative impact of school education on the mental health of adolescents in China exceeds even the impact of the pandemic and home isolation. The focus should be on those adolescents with abuse experience and poor parent-child relationships to prevent the onset of psychological and psychiatric disorders.