Objective To explore the relationships between neuroticism, depressive symptoms, negative automatic thoughts and psychological stress, and to reveal the mechanisms of neuroticism affecting depressive symptoms. Methods A total of 642 soldiers and officers were selected using the snowball sampling method. A cross-sectional survey design was adopted. Eysenck personality questionnaire, automatic thoughts questionnaire, psychological stress self-assessment test and depression-anxiety-stress scales were used to investigate the neuroticism, negative automatic thoughts, psychological stress response and depressive symptoms of officers and soldiers, respectively. Pearson correlation analysis and structural equation model were used to analyze the relationships between neuroticism, negative automatic thoughts, psychological stress response and depressive symptoms. Results A total of 555 valid questionnaires were collected, with an effective rate of 86.45%. The results of correlation analysis showed that neuroticism, negative automatic thoughts, psychological stress response and 3 depressive symptoms (depression, anxiety, and stress) were pairwise positively correlated (all P<0.01). With negative automatic thoughts and psychological stress response as mediators, an intermediary model with neuroticism as independent variable and depressive symptoms as dependent variable was constructed. The fit indexes of the model were good (χ²/df=0.980, the normed fit index was 0.996, the Tucker-Lewis index was 1.000, the comparative fit index was 1.000, the root mean square error of approximation was 0.000, the standardized root mean square residual was 0.011, and the Akaike information criterion was 35.877). The mediating effect of negative automatic thoughts was 0.077, the mediating effect of psychological stress response was 0.061, the chain mediating effect of the 2 mediating variables was 0.017, and the total indirect effect was 0.155, accounting for 54.20% of the total effect (0.286). Conclusion Neuroticism can significantly predict depressive symptoms among officers and soldiers, and negative automatic thoughts and psychological stress response play chain intermediary roles in the effect of neuroticism on depressive symptoms.