The coronavirus disease (COVID‐19) has caused social isolation and loneliness among Japanese university students. Stress mindset, namely, beliefs about stress and its consequences, is related to mental health through emerging evidence. This study investigated the relationship between stress mindset and mental health during the COVID‐19 pandemic and assessed the mediating effect of coping behaviors. An online survey was conducted in mid‐October 2021 with 4,120 university students from 47 prefectures in Japan. Stress mindset (stress‐is‐enhancing and stress‐is‐debilitating mindsets), coping behaviors, and mental health (loneliness and depression) were measured. The results showed that the positive path from a stress‐is‐debilitating mindset to depression and loneliness, and the negative path from a stress‐is‐enhancing mindset to loneliness, were significant. Furthermore, the stress‐is‐enhancing mindset was mediated by vaccination status, inducing a decrease in loneliness; the stress‐is‐debilitating mindset was mediated by a decrease in part‐time jobs and extracurricular activities, and inducing an increase in loneliness and depression. Current findings indicate that stress mindset may influence the behavioral tendencies and mental health of Japanese university students during COVID‐19, comprising an internal resource to protect their mental health.