Stressful life events and subjective well-being are negatively related, but there is little research in the current literature exploring the mediating and moderating mechanisms underlying this association, especially for female adolescents in vocational schools who are subjected to undesirable life events. In the present study, we examined the mediating role of depression in the association between stressful life events and female adolescents’ subjective well-being, as well as the moderating role of perceived social support in the direct and indirect relations involved. The participants were 1,096 vocational school female adolescents, who completed the questionnaires regarding stressful life events, subjective well-being, depression, and perceived social support. The results showed that depression partially mediated the relation between stressful life events and subjective well-being. Importantly, perceived social support moderated the direct link between stressful life events and subjective well-being, and the indirect link between stressful life events and depression, but not the indirect link between depression and subjective well-being. Especially, female adolescents high in perceived social support displayed higher levels of subjective well-being and lower levels of depression in facing with stressful life events than those low in perceived social support. These findings highlight the mechanisms underlying the relationship between stressful life events and subjective well-being in vocational school female adolescents.