(1) Background: To investigate the knowledge, preventative practices, and depression of Chinese university students living in South Korea (‘International Group’) and Mainland China (‘Mainland Group’) during the Coronavirus Disease 2019 (COVID-19) outbreak, and furtherly explore the determinants of depression among these students; (2) Methods: The study was conducted using an online questionnaire tool designed by the Yonsei Global Health Center, with preventative knowledge and practice questions on COVID-19, as well as PHQ-9 (used to diagnose depression for patients). 420 Chinese college students were finally included in the analysis (171 students in South Korea and 249 students in mainland China). This data was collected from March 23 to April 12, 2020; (3) Results: Majority of these students had a good level of knowledge of COVID-19. The ‘International Group’ did better than the ‘Mainland Group’ students regarding preventative practices, but the percentage with moderate-to-severe depression was higher among the ‘International Group’. Highly concerned about family members, highly concerned about getting COVID-19, and having a suspicion of contact with patients increased the depression state among the respondents. Meanwhile, taking preventative behaviors more comprehensively decreased the depression state of both groups; (4) Conclusions: During the pandemic of COVID-19, the depression status of ‘International Group’ students was significantly severer than that in ‘Mainland Group’ (χ2 = 5.50, p < 0.05). While the high-level of depression status of these two groups’ students was affected by highly concerning family members and getting COVID-19 and having a suspicion of contact with patients. Therefore, psychological counseling and education programs are needed in order to support and improve the mental health of ‘International Group’ students.