Background: In the period of the global pandemic, psychophysical problems induced by the fear of COVID-19 among college students deserve attention since the dormitory environment in college greatly increases the possibility of COVID-19 infection. Methods: A hypothesized mediated moderation model was to be verified using a cross-sectional study among 2453 college students. Fear of COVID-19, insomnia, hope, and depression were assessed by using the relevant scales. Results: (1) The fear of COVID-19 was positively correlated to depression (β = 0.365, t = 5.553, 95% CI = [0.236, 0.494]); (2) hope moderated the influence of the fear of COVID-19 on depression (β = −0.093, t = −4.066, 95% CI = [−0.137, −0.048]), as well as on insomnia (β = −0.095, t = −4.841, 95% CI = [−0.133, −0.056]); and (3) the mediated moderation model with hope as the moderator and insomnia as the full mediating variable between fear of COVID-19 and depression was verified (β = −0.060, 95% CI = [−0.093, −0.028]). Conclusions: The findings suggest that hope is a vital mechanism to explain the relationship between the fear of COVID-19 and depression in early adulthood. In practical application, mental health practitioners should focus on boosting hope and alleviating insomnia when addressing COVID-19-related depression issues among college students.