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Visual Emotion Analysis (VEA) is attracting increasing attention. One of the biggest challenges of VEA is to bridge the affective gap between visual clues in a picture and the emotion expressed by the picture. As the granularity of emotions increases, the affective gap increases as well. Existing deep approaches try to bridge the gap by directly learning discrimination among emotions globally in one shot without considering the hierarchical relationship among emotions at different affective levels and the affective level of emotions to be classified. In this paper, we present the Multi-level Dependent Attention Network (MDAN) with two branches, to leverage the emotion hierarchy and the correlation between different affective levels and semantic levels. The bottom-up branch directly learns emotions at the highest affective level and strictly follows the emotion hierarchy while predicting emotions at lower affective levels. In contrast, the top-down branch attempt to disentangle the affective gap by one-to-one mapping between semantic levels and affective levels, namely, Affective Semantic Mapping. At each semantic level, a local classifier learns discrimination among emotions at the corresponding affective level. Finally, We integrate global learning and local learning into a unified deep framework and optimize the network simultaneously. Moreover, to properly extract and leverage channel dependencies and spatial attention while disentangling the affective gap, we carefully designed two attention modules: the Multi-head Cross Channel Attention module and the Level-dependent Class Activation Map module. Finally, the proposed deep framework obtains new state-of-the-art performance on six VEA benchmarks, where it outperforms existing state-of-the-art methods by a large margin, e.g., +3.85% on the WEBEmo dataset at 25 classes classification accuracy.