International students in China were among the first group of individuals to be affected by the COVID-19 pandemic. However, the pandemic’s impact on their mental health is underexplored. This study—utilizing web-based survey data (N = 381), presents preliminary reports using ANOVA and MIMIC analytic approaches. Following the clinical demarcation of the 21-item version of the Depression Anxiety Stress Scales (DASS-21), we found 24.6%, 38.3%, and 43.6% of the students to suffer mild to extreme stress, anxiety, and depression, respectively. Female students reported significantly higher levels of stress and depression than males. Older students’ reports of stress were more substantial than younger students. Students who reported having a relative infected with the virus (vs. those without) experienced significantly higher anxiety and stress. Those who reported having pre-existing chronic health condition(s) (vs. those without) also reported significantly higher stress, anxiety, and depression levels. Moreover, students with an exercise routine (vs. those without) experienced significantly lower levels of stress, anxiety, and depression. Last, our MIMIC model results indicate that foreign students’ age, gender, chronic health status, and having a relative infected with the virus constitute significant risk factors explaining variations in foreign students’ experience of psychological distress. Implications for international students’ management have been thoroughly discussed.