The weather is arguably one of the most common topics in daily conversation. However, it is also a well-known factor in psychiatric problems worldwide such as depression, where particularly elders and females are prone to the condition. Previous studies have mostly focused on the association between long-term climate/season change and depressive symptoms to test the belief that people feel depressed when the weather is bad. Yet, little is known about the relationship between intraday weather conditions and depressive symptoms. This study aimed to decompose this association and explore age and gender differences in depressive symptoms' report under different intraday weather conditions. We analyzed data with a total sample size of 20,987 individuals aged 15-96 years obtained via the China Labor-force Dynamic Survey (CLDS) project in 2016. The surveyors filled in the intraday weather conditions (i.e., sunny, cloudy, overcast, light rain, moderate rain, and heavy rain) in the questionnaire with depression being self-reported using the Center for Epidemiologic Studies Depression (CES-D) Scale. In the survey, 17.3% [95% confidence interval (CI) = 16.8%, 17.8%) individuals were assessed to have depressive symptoms (CES-D scores > 15). Overcast day was the peak weather condition for depressive symptoms, while gender and age differences of depressive symptoms were biggest in the weather condition of moderate rain. Multivariate logistic regression revealed that female and middle-old age individuals were more likely to report having depressive symptoms, and people under overcast day were more likely to report having depressive symptoms compared to under sunny day [odds ratio (OR) = 1.25, 95%Cl = 1.11, 1.39]. This intraday weather conditions-depression link was significant in males and middle-old age individuals but not in females and youngsters.