Although perceived stress has been shown to play an important role in insomnia, little is known about the mediating and moderating mechanisms underlying this relation. In particular, the outbreak of COVID-19 has undoubtedly had a significant impact on the physical and mental health of college students. The present study focused on Chinese college students during the COVID-19 pandemic and examined the mediating role of sense of security between perceived stress and insomnia and the moderating role of family cohesion. Chinese college students (N = 1,187) completed the measures of perceived stress, sense of security, insomnia, and family cohesion. The results indicated that perceived stress was significantly and positively associated with insomnia, and sense of security partially mediated this relation. Moderated mediation analysis further indicated that family cohesion moderated the relation between perceived stress and sense of security. This relation became weaker for college students with higher levels of family cohesion. Results highlight the significance of identifying the mechanisms that moderate the mediate paths between perceived stress and college students’ insomnia.