This cross-sectional study aimed to examine the mechanism underlying the association between of meaning-focused coping on depression in everyday contexts. A total of 404 participants (mean age = 21.73 years, SD = 2.86 years) completed a questionnaire-based survey. The results indicated that: (a) Meaning-focused coping was significantly positively associated with meaning in life and psychological well-being, and negatively associated with depression. (b) Psychological well-being mediated the relationship between meaning-focused coping and depression. (c) Meaning in life and psychological well-being sequentially mediated the relationship between meaning-focused coping and depression.