We tested the role of sense of coherence, social support, satisfaction with life, and resilience, as resources in the association between fear of COVID-19, perceived vulnerability to disease, and depression. Data from 804 students were collected at three South African universities in 2022 and 2023 by means of an electronic survey and analysed using structural equation modelling. We found that higher levels of fear of COVID-19 and hopelessness were associated with depression among the sample. Satisfaction with life, sense of coherence, and perceived social support had significant negative relationships with depression, indicating that these represent potential protective resources. Perceived vulnerability to disease had a positive relationship with perceived social support. While fear of COVID-19 significantly impacted depression, it did not show a significant relationship with other mental well-being measures, such as satisfaction with life, sense of coherence, resilience, or social support. Hopelessness showed a strong negative correlation, not only with resilience but also with satisfaction with life, sense of coherence, and perceived social support, making it a critical factor in mental well-being. Perceived social support acted as a mediator between both hopelessness and perceived vulnerability to disease and depression. Satisfaction with life mediated the relationship between hopelessness and depression, and sense of coherence mediated the relationship between perceived vulnerability to disease and depression. While higher levels of fear related to COVID-19 and pervasive feelings of hopelessness were robust predictors of depressive symptoms, factors such as satisfaction with life, sense of coherence, and perceived social support emerged as protective resources.