Social anxiety is a serious psychological problem prevalent among Chinese college students, and appearance anxiety plays an important role in its development. Although some studies have explored the relationship between the two, the mediating mechanism is unclear. This study constructed a sequential mediation model based on the cognitive–behavioral theory of body image disorder and social phobia to explore the mediating role of self-efficacy and self-esteem. A total of 234 college students were recruited using the convenience sampling method, including 68 males (29.10%) and 166 females (70.90%), with an average age of 21.25 years (SD = 1.75). Data were collected using the Social Appearance Anxiety Scale, the General Self-Efficacy Scale, the Self-Esteem Scale, and the Interaction Anxiety Scale. The study’s results demonstrated a significant and positive predictive relationship between appearance anxiety and social anxiety (effect = 0.21, SE = 0.04, 95% CI = [0.13, 0.29], p < 0.001). Appearance anxiety not only directly affects social anxiety but also has three indirect paths affecting social anxiety: the independent mediating effect of self-efficacy (effect = 0.03, SE = 0.01, 95% CI = [0.00, 0.06], p < 0.001), the independent mediating effect of self-esteem (effect = 0.03, SE = 0.02, 95% CI = [0.01, 0.07], p < 0.001), and the serial mediation effect of self-efficacy and self-esteem (effect = 0.01, SE = 0.01, 95% CI = [0.00, 0.03], p < 0.001). Direct and indirect effects accounted for 73.81% and 26.19% of the total effect, respectively. These findings provide new perspectives on the intervention with and treatment of social anxiety in college students.