The major depressive disorder has drawn wide attention and has been researched for decades in the fields of psychology, and many factors that may have significantly high correlations with depression were discovered and proposed. However, the relationship between these variables and depression during a world-wide epidemic of infectious diseases is unclear. This paper mainly focuses on the relationship between self-control, self-esteem, multiple demographic information, and depression among students of different educational levels during the quarantine of Coronavirus Disease 2019 (COVID-19) pandemic in Xiamen City, China. The significant gender and age differences on the score of self-control, the score of self-esteem, and the severity of depression for participants in either proportional of or the whole data are observed. Moreover, several solid correlations were discovered between the score of self-control, the score of self-esteem, and the severity of depression. The final model suggested the significant influence of the participants’ current educational level, parents’ marriage status, relationship with parents, electronic devices usage, score of self-control, and score of self-esteem on their severity of depression. The results of this study may draw parents’ attention to the mental health, especially depression, of young people during COVID-19 pandemic; moreover, it is imperative for the psychological professionals or educational practitioners to conduct prevention and intervention of mentally abnormal conditions in schools.