The prevalence of reported mental health problems among university students has increased at alarming rates in recent years. While various negative life events (from personal events such as relationship breakdowns to more global events such as COVID-19 [SARS-CoV-2] pandemic) have been found to be important predictors of poor mental health in this population, some individuals have been found robustly to fare better than others in confronting such events. Identifying factors that predict these individuals’ mental health, along with the specific coping strategies they utilize may have significant practical implications when confronted by adverse events such as COVID-19. This study investigated relationships between the impact of the COVID-19 pandemic on 828 (453 females, 374 males, and one “Other”) Chinese university students’ mental health, and their internal strengths, personality characteristics, and demographic profiles. We also investigated whether students’ use of specific coping strategies mediated these relationships. Stepwise multiple regression analyses (MRAs) and a path analysis revealed that students who resided in their home country, had higher levels of internal strengths, a lower level of neuroticism and a higher level of agreeableness and reported fewer negative mental health changes than did other respondents during COVID-19 in the second half of 2020. Self-regulation and withdrawal coping strategies were both important mediators of these relationships. These findings have important implications for universities in identifying and assisting students in the face of adverse events such as COVID-19.