This study examines the relationship between major source of income (i.e., adult children, financial independence and government welfare) and depression among elderly Hong Kong people. We also assessed the mediating and moderating effects of family social support and financial strain in the linkage between source of income and depression. The data came from a cross-sectional survey of a representative community sample of 1106 elderly respondents in Hong Kong. Using multiple regression models, data revealed that there was a differential impact of major sources of income on depression. Welfare participation and financial independence contributed to a higher level of depressive symptoms whereas people whose source of income was their adult children were more likely to report a lower level of depression than the others who were not. We also found that family social support was either a complete mediator or partial mediator in the relationship between different major sources of income and depression but it was not a significant moderator in the linkage between different major sources of income and depression. In contrast, financial strain was a significant moderator in the link between different major sources of income and depression. Specific and effective interventions must be developed for those who are financially independent or on welfare.