Background The COVID-19 pandemic significantly increased depression prevalence in general population. However, the relationship between persistent dysfunctional thinking associated with COVID-19 (perseverative-cognition) and depression, and its potential moderators are understudied. We aimed to examine the association between COVID-19 perseverative-cognition and depression, and the moderating effect of potential risk and protective factors on this association in general public during the peak of fifth COVID-19 wave in Hong Kong.Methods This survey recruited 14,269 community-dwelling adults between March 15–April 3, 2022 to investigate association between COVID-19 perseverative-cognition and depression, and the moderating effect of resilience, loneliness and three coping strategies (including emotion-focused, problem-focused and avoidant coping) on this association, using hierarchical regression models and simple slope analyses. COVID-19 perseverative cognition was assessed by the Obsession with COVID-19 Scale (OCS) and depressive symptoms were measured by the Patient Health Questionnaire-9 (PHQ-9).Results Perseverative-cognition was positively associated with depression severity. Resilience, loneliness and three coping strategies moderated the association between perseverative-cognition and depression. Specifically, greater resilience and emotion-focused coping ameliorated the association between perseverative-cognition and depression, while higher levels of loneliness, avoidant and problem-focused coping accentuated such association.Limitations Cross-sectional design precluded establishing causality among variables.Conclusion This study affirms that COVID-19 perseverative-cognition is significantly related to depression. Our findings indicate the potential critical role of enhanced personal resilience and social support, and adoption of emotion-focused coping in mitigating negative effect of COVID-19 related maladaptive thinking on depression severity, thereby facilitating development of targeted strategies to reduce psychological distress amidst the prolonged pandemic.