Because of the impact of the COVID-19 pandemic, the learning style of graduate students has changed considerably, making them more susceptible to psychological problems. This study aimed to explore the mediating roles of thesis writing and anxiety between course support (including course-arrangement, course-assessment, and course-learning), academic support (including academic exchange with colleges, tutors and schoolmates) and depression. There were 3137 graduate students investigated by self-developed Graduate Students’ Academic Affected Questionnaire, Self-Rating Anxiety Scale and Self-Rating Depression Scale. The results showed that (1) 82% of graduate students reported their course support, academic support and thesis writing were affected to varying degrees; (2) course support and academic support correlated with thesis writing, anxiety and depression (p < 0.001); (3) the mediation model fitted well, the mediating effect of anxiety between academic support and depression was significant (β = 0.086, SE = 0.02, p < 0.001), the serial multiple mediating effects of thesis writing and anxiety between academic support and depression were significant (β = 0.02, SE = 0.008, p = 0.013) and the serial multiple mediating effects of thesis writing and anxiety between course support and depression were also found to be significant (β = 0.014, SE = 0.006, p = 0.014).