Background: Based on social comparison theory, two experiments were conducted to explore the effects of depression and social comparison on adolescents, using the ultimatum game (UG). Methods: Before the formal experiment began, a preliminary experiment tested the effectiveness of social comparison settings. This study used the UG paradigm to explore adolescents’ social decision-making in the context of gain and loss through two experiments. These experiments were designed as a 2 (group: depressive mood group, normal mood group) × 2 (social comparison: upward, downward) × 3 (fairness level: fair 5:5, unfair 3:7, extremely unfair 1:9) three-factor hybrid study. Results: (1) The fairer the proposal was, the higher the sense of fairness participants felt, and the higher their acceptance rate. (2) The acceptance rate of the participants for downward social comparison was significantly higher than that for upward social comparison, but there was no difference in fairness perception between the two social comparisons. (3) Under the context of gain, the acceptance rate of the depressive mood group was higher than that of the normal mood group, but there was no difference in the acceptance rate between the depressive mood group and the normal mood group under the loss context. Depressive mood participants had more feelings of unfairness in the contexts of both gain and loss. (4) The effects of depressive mood, social comparison and the fairness level of distribution on social decision-making interact. Conclusions: The interaction of social comparison, depressive mood and proposal type demonstrates that besides one’s emotion, cognitive biases and social factors can also have an effect on social decision-making. These findings indicate that behavioral decision boosting may provide an avenue for appropriate interventions in helping to guide adolescents to make social decisions.