Nowadays, depression has been a prominent mental health problem throughout the world. A common but negative social experience, social exclusion (also known as ostracism) is a great risk factor for individuals’ health and adaptation. Undergraduate students are in a development period of challenges and transitions, so they are vulnerable to suffering from depression and negative social experiences. Against this background, the present study aimed to examine the association between social exclusion and undergraduate students’ depression as well as the underlying mechanism - the mediating roles of rejection sensitivity and social self-efficacy. Seven hundred sixty-two undergraduate students were recruited to participate in this study, who were asked to complete a set of questionnaires measuring social exclusion, depression, rejection sensitivity, and social self-efficacy. After controlling for gender, social exclusion was positively associated with undergraduate students’ depression. And rejection sensitivity and social self-efficacy could significantly mediate this relation through three mediating paths - the separate mediating effects of rejection sensitivity and social self-efficacy, as well as the serial mediating effect of rejection sensitivity and social self-efficacy. These results could not only deepen our understanding of this theme, but also have several practical implications for the intervention of depression, for example, relevant social skill training and cognitive therapy could be adopted to intervene the rejection sensitivity and social self-efficacy.