Objective: The study reported in this paper was aimed at developing understanding of depression-related knowledge and preferences surrounding professional help, medication, and treatment methods among Chinese living in Shanghai, China. Methods A multi-stage cluster sampling method in which participants were taken from 6 of the 20 districts in Shanghai was adopted for this study. The 522 Shanghai Chinese participants were presented with a vignette describing an individual with depression before being asked questions designed to assess both their understanding of depression and their preferences surrounding professional help, medication, and treatment methods. A comparative approach was adopted to identify similarities and differences between our findings and those of two previous studies on the mental health literacy of Chinese living in Melbourne, Australia, and Hong Kong, respectively. Results A similarly low percentage of Chinese people in each of Shanghai, Hong Kong, and Australia recognized depression. Fewer Shanghai Chinese than Chinese living in Hong Kong and Australia ascribed the ‘anxiety/stress’ label to the depression vignette and endorsed professionals and informal network members as helpful. Although a far lower percentage of Shanghai Chinese endorsed the use of counseling professionals, a much higher percentage of the same group endorsed Chinese medical doctors and herbal medication. A lower percentage of Shanghai Chinese endorsed ‘lifestyle changes’ as a strategy for combating depression than did Chinese subjects living in Australia and Hong Kong. On the other hand, a higher percentage of Shanghai residents endorsed psychiatric treatment and the traditional Chinese practices of ‘eating nutritious food/taking supplements’ and ‘qigong’ than among the other two groups of Chinese. Conclusions This study underlines the need for campaigns aimed at improving the mental health literacy of Chinese in Shanghai. Such campaigns must take into consideration the socially and culturally driven beliefs to facilitate the development of specific education programs.