This study aims to explore new educational strategies suitable for the mental health education of college students. Big data and artificial intelligence (AI) are combined to evaluate the mental health education of college students in sports majors. First, the research status on the mental health education of college students is introduced. The internet of things (IoT) on mental health education, a structure based on big data and convolutional neural network (CNN), is constructed. Next, the survey design and questionnaire survey are carried out. Finally, the questionnaire data are analyzed and compared with the mental health status under traditional education. The results show that the CNN model has good accuracy and ability to distinguish symptoms, so it can be applied to the existing psychological work in colleges. In the symptom comparison survey, under the traditional education and big data network, the number of college students with mild mental health problems is found to be 158 (84.9%) and 170 (91.4%), respectively. It indicates that the number of college students with moderate mental health problems decreases significantly. In the comparative investigation of the severity of mental problems, the number of students with normal mental health, subhealth, and serious mental health problems under the background of traditional mental health education is 125 (67.2%), 56 (30.1%), and 5 (2.7%), respectively. The mental health status of college students under the influence of big data networks on mental health education is better than that of traditional mental health education. There are 140 students with normal mental health, a year-on-year increase of 16.7%. In the comparative survey of specific mental disorders, students with obsessive-compulsive symptoms under traditional mental health education account for 22.0% of the total sample, having the largest proportion. In the subhealth psychological group under the big data network on mental health education, the number of hostile students decreases by 7, which is the psychological factor with the most obvious improvement. Hence, the proposed path of mental health education is feasible.