数据呢，要经过检验和你分析的目的啊！

两种方法的选择是依数据选择吗？协方差分析都是用SPSS做的，本人倾向第一种方法

把两种方法都用spss做一下分析，然后看看结果和你的分析目的哪个更联系紧密，更能达到分析效果就可以了。

不会吧，总要有点统计理论的支持吧

Which model to use depends on your study aim and your understanding of your study topic (clinical experience, finding of pervious studies, etc.). If you really think gender play a important role on depression, you can explore your data as followings:
1)Do ANCOVA on male and female separately
2)Do ANCOVA with gender as a variate and considers the two-way interactions with other variates and covariates
3)Do multiple regression with gender as a predictor and considers the the two-way interactions with other varitates

Although the above three ways have different technical focuses, finally they should tell the same story