Background: Former study has indicated the association of academic stress with mental health problems. However, few studies have specifically examined the effects of sleep quality, school belonging, and physical activity on the relationship between academic stress and mental health. This study fills this research gap by investigating the direct impact of college students perceived academic stress on depressive symptoms, along with the mediating roles of sleep quality and school belonging. This paper also examined the differences in pathways between high and low physical activity in college students. Methods: The study utilized a stratified random sampling approach to gather data from a sample of 502 participants. Using Smart-PLS software to test the mediating effects of sleep quality and school belonging. Additionally, Using the PLS-SEM (Multi-Group Analysis) technique to assess the moderating role of physical activity. Results: Structural equation modeling and bootstrapping tests, the results show that college students perceived academic stress was positively associated with their depressive symptoms. This association was partially mediated by sleep quality and school belonging. Moreover, the level of physical activity significantly moderated the paths between the perceived academic stress and depressive symptoms. Limitations: The research adopts a cross-sectional design. Conclusion: The finding of the study highlights the significance of comprehensive treatments in higher education, which aim to improve sleep quality, build a stronger feeling of community among students, and lessen academic stress.