To investigate predictive factors of student's academic year, interest in the field of nursing, stress, self-efficacy, and problem-focused and emotion-focused coping on the depressive symptoms among undergraduate nursing students. As the burden of depression among students has increased worldwide, depressive symptoms have become a standard part of mental health problems in college and university students. Among the various fields of medical sciences, nursing students face more stressors during their study period and are more at risk of suffering depressive symptoms than other students. A cross-sectional design. A total of 230 undergraduate nursing students from a university in Myanmar were recruited from August to September 2021. The data were collected using standard research instruments, including a Demographic Questionnaire, Student Nurse Stress Index Questionnaire, General Self-efficacy Scale, Brief COPE Inventory, and Center for Epidemiology Studies Depression Scale (CES-D). Descriptive statistics were used to describe the sociodemographic characteristics of the participants. Inferential statistics were used to identify the predictive effect of academic year, interest in the field of nursing, stress, self-efficacy, problem-focused coping, and emotion-focused coping on depressive symptoms, using multiple linear regression analysis. Academic year, interest in the field of nursing, stress, self-efficacy, and problem-focused and emotion-focused coping accounted for 31.5% of the variance of depressive symptoms (F(8, 221) =12.704, p<.001) with an R2 =.315. Stress was the factor that most influenced student's depressive symptoms (β =.407, p<.001). Self-efficacy (β =-.244, p<.001) and emotion-focused coping (β =.199, p<.05) were also critical factors contributing to depressive symptoms among undergraduate nursing students. The results of this study provide insight and knowledge about depressive symptoms and factors that can contribute to depressive symptoms among undergraduate nursing students. Results suggest that nurse educators and community mental health nurses should focus on reducing stress, increasing self-efficacy, and enhancing proper coping strategies among students to prevent depressive symptoms.