Since few studies have incorporated factors like stressors, coping styles, and academic burnout into the same model to analyze their impacts on depressive symptoms, this research attempts to establish an optimal structural model to explore the direct and indirect effects of these factors on depressive symptoms. A total of 266 postgraduates completed questionnaires regarding coping styles, academic burnout, stressors, and depressive symptoms. The path analysis was applied for investigating the roles of coping styles and academic burnout in mediating the relationship between stressors and depressive symptoms. The total and direct effects of stressors on depressive symptoms were 0.53 and 0.31, respectively. The proportion of the direct effect of stressors on depressive symptoms to its total effect amounted to 58.50%. The indirect effects of academic burnout, positive coping style, and negative coping style on the association between stressors and depressive symptoms were 0.11, 0.04, and 0.03, taking up 20.75%, 7.55%, and 5.66% of the total effect, respectively. The serial indirect effect of positive coping style and academic burnout was 0.02, accounting for 3.77% of the total effect, while that of negative coping style and academic burnout was 0.02, taking up 3.77% of the total effect. Coping styles and academic burnout chain jointly mediate the relationship between stressors and depressive symptoms among postgraduates. Thus, encouraging postgraduates to tackle stress positively may reduce the likelihood of the development of academic burnout and further reduce depressive symptoms.