Olfaction, often regarded as a unique chemical sensation, plays a pivotal role in shaping our quality of life and mental well-being. Numerous studies have highlighted the significant relationship between olfactory function and depressive symptoms. However, the complex mechanisms underlying how olfactory function affects the development of depressive symptoms remain largely unclear. In this study, we investigated the role of hedonic capacity in the link between olfactory function and depressive symptoms. We recruited 1661 young adults, along with an additional 381 participants who had experienced COVID-19-related olfactory dysfunction, to complete a series of self-report questionnaires assessing depressive symptoms, olfactory dysfunction, and hedonic capacity. A subset of 327 participants completed a follow-up survey 3 months later. Our sequential mediation analyses revealed that olfactory function indirectly influenced depressive symptoms through chemosensory pleasure. Moreover, it impacted pleasure derived from social activities by modulating chemosensory pleasure. Notably, this mediating effect persisted over the 3-month period and was evident even in participants with hyposmia, highlighting the lasting importance of chemosensory hedonic capacity. These findings suggest that both chemosensory and social hedonic capacities are crucial in the complex relationship between olfactory function and depressive symptoms. This insight not only deepens our understanding of the developmental psychopathology of depression but also offers a new perspective for its prevention.