The difficulties in cross-cultural transition and the ways to diminish the adaptive cost and role conflict in this process have drawn attention from a wide range of scholars and professionals in their attempt to specify the type and source of stressors and identify the roles of social support and gender in dealing with the cultural change. This study examines these links more specifically by a cross-cultural comparison between Chinese and American graduate students who work as teaching and research assistants in a Research I Midwestern university. I hypothesized a stronger positive relationship between work strain and depression in Chinese group than American group, a stronger positive relationship between work strain and depression in females than males. Also, I hypothesized a negative relationship between social support and depression, and buffering effect of social support on work strain and depression. Results show that Chinese students experience higher work strain than their American counterpart, but they feel less depressed than the American group. American females are less depression than American males while no differences were found in Chinese group. The main effect of social support is significant in both samples but the buffering effect is significant only in Chinese group (supervisor support on work strain and depression). More future research, both qualitative and quantitative, is needed to improve knowledge on contemporary issues of gender, social support and cultural differences as applicable for today's global business world.