With the continued spread of the COVID-19 pandemic and the strict implementation of quarantine policy, the levels of anxiety among university students surged in the lockdown period. Previous studies confirmed the effectiveness of social support in mitigating anxiety, so offering social support should be of high priority in COVID-19, especially in quarantine. However, various coping strategies against the pandemic may explain the link between social support and anxiety. The purpose of this study was to investigate the associations of social support, coping strategy against COVID-19, and anxiety, identifying the potential mediating effect of coping strategy between social support and anxiety during the COVID-19 quarantine. Home-quarantined Chinese university students (
N
= 2640; 68.79% female) completed online ratings of social support, coping, and anxiety from February 21st to 24th, 2020, when they had been confined to their homes in the peak of the pandemic. Sex and academic attainment being covariates, path analysis with parallel mediation were conducted using “lavaan” package in R environment. Anxiety was significantly negatively related to subjective support and counselor support, while family support did not demonstrate substantive associations with anxiety. The mediating role of cognitive coping was found between all the three social support sources and anxiety. Emotional coping and behavioral coping were found to partially mediate the relationship between subjective support and anxiety, fully mediate the associations of family support and anxiety. However, the impact of counselor support on anxiety was not found to be mediated by emotional coping and behavioral coping. This large-scale online study provides initial evidence that various coping strategies may mediate the relationship between three sources of social support and anxiety in quarantine to some extent. Given that coping against COVID-19 is a valuable reasearch goal upon the global ongoing challenge, the findings will shed more light on the mechanism in the link between coping, social support, and anxiety.