The economic red alga, Gracilaria lemaneiformis Bory, was grown at different depths in the coastal waters of the South China Sea, and its growth, pigments, ultra-violet (UV)-absorbing compounds and agar yield were investigated in order to see the impacts of depth change. Gracilaria lemaneiformis grew slower at greater depths in March, while the highest relative growth rate (RGR) was found at about 1.0 m depth in April, about 9% higher than that at surface water (0.5 m below the surface). The RGR increased with the increasing daily photosynthetically active radiation (PAR) dose received by the thalli at different depths. The contents of phycoerythrin and chlorophyll a increased, while that of UV-absorbing compounds (UVAC, absorption peak at 325 nm) decreased with increased depth. The highest levels of the UVAC in the thalli grown in surface seawater played a protective role against solar UV radiation (280–400 nm). The content of UVAC declined at deeper depths and under indoor low PAR. The agar yield of the thalli increased with the increasing depths, with the highest content found at 3.5 m depth.