The link between stress and Internet addiction (IA) has been confirmed. However, the mechanism underlying the correlation is poorly understood. Thus, the current study proposed a moderated mediation model to test the mediating role of anxiety and the moderating role of self-control (SC) in the link between stress and IA. Eight hundred and sixty-one Chinese college students (Mage = 20.62 years; SD = 1.58; male = 47.7%) were required to complete an online questionnaire package, including a depression-anxiety-stress scale, a self-control scale, and an Internet addiction test. The PROCESS macro developed based on SPSS was used to test the moderated mediation model. When controlling for gender and age, the results revealed that anxiety partially mediated the link between stress and IA. Specifically, the more stressed college students are, the higher their anxiety level is, and the more likely they are to become addicted to the Internet. Additionally, the direct and indirect links between stress and IA were all moderated by SC. SC buffered the effect of stress on anxiety and anxiety on IA but enhanced stress on IA. These findings emphasized the predictor role of stress on IA and provided insights on intervening in college students' excessive Internet use behaviors for educators, such as reducing anxiety levels and improving self-control abilities.