Research has identified social exclusion as one of the social determinants of health. There are risks of social exclusion in later life in recent years. However, despite the fact that China has the largest aging population in the world and reports a rapid growth in the proportion of older people living alone, research on the role of social exclusion on depression is limited. This study examined the effects of social exclusion on depressive symptoms in older Chinese who are living alone in China, based on the data from one Shanghai neighbourhood. The data used were obtained between August and October 2008 through face-to-face interviews, using a structured survey questionnaire, from a simple random sample of 228 Chinese 60 and older living alone in a Shanghai community. Depressive symptoms were measured by a 15-item Chinese version Geriatric Depression Scale. Social exclusion was represented by income adequacy, social relations, civic participation, and housing condition. Over 30% of participants reported symptoms of a mild or above mild level of depression. When controlled for the demographics and health variables in hierarchical multiple regression, social exclusion variables, represented by a lower level income adequacy, a less favourable housing condition, and feeling more lonely correlated significantly with more depressive symptoms. Contrary to previous studies on depression in the older adults in China, this study has obtained findings indicating that social exclusion variables are more important than other socio-demographic factors in the context of contemporary China. While two significant social exclusion variables (i.e. income and housing) are related to structural changes in the economic context in China, the intra-personal role of feeling lonely that ties strongly living alone and role of older adults in an increasingly competitive market economy should not be underestimated. To address depression and mental health of older Chinese who live alone, social policies and programs to reduce various forms of social exclusion should be developed. In additional to providing assistance in financial support and housing improvement, services to strengthen the social networks and social relations of these older people are essential.