Abstract Background Previous studies have investigated the role of cognitive factors in the relationship between stressful life events and depression; however, few studies comprehensively considered cognitive and personality factors. Therefore, this study investigated the multiple mediating roles of fatalism and core self-evaluations in the relationship between stressful life events and depression. Methods A cross-sectional survey was conducted with 537 Chinese university students (Mage = 20.20, SD = 1.38) at two universities in Guizhou and Sichuan provinces. The independent variable was stressful life events; mediating variables were fatalism and core self-evaluations; and the dependent variable was extent of depression. Multiple mediation analysis was performed using the PROCESS macro in SPSS. Results Significant positive correlations were found among stressful life events, fatalism, and depression, while core self-evaluations were significantly negatively correlated with stressful life events, fatalism, and depression. After adjusting for demographic variables, stressful life events directly and positively influenced depression (β = 0.370, 95% CI = 0.292−0.448). Fatalism and core self-evaluations played multiple mediating roles in the relationship between stressful life events and depression, with stressful life events influencing depression through three mediation pathways (total mediation effect = 0.199, 95% CI = 0.145−0.254), which accounted for 53.85% of the total effect. Limitations The data used in this study were self-reported by university students and measureed via cross-sectional designs. Conclusions Stressful life events can influence depression either directly or indirectly by simultaneously increasing fatalism and lowering core self-evaluations (parallel mediation) or decreasing core self-evaluations through increasing the level of fatalism (serial mediation).