International students in the US occupy a precarious position at the intersection of immigration policy and global education mobility, one made more challenging by the disparate impact of COVID-19 on college students’ mental health. Few studies, however, have explored the pandemic's effects on mental well-being among the international student population in the US. Our study aims to provide initial empirical evidence on the mental health status of these students, with a specific focus on discrimination, loneliness, anxiety, and depression. We propose a mediation framework and estimate the mediating effects of loneliness and anxiety in the relationships between discrimination and depression in a sample of US-based international students (N = 103). We collected cross-sectional data from July to August 2020, using a 50-item online survey instrument with three open-ended questions. Mediation analyses using PROCESS Macro were used to analyse quantitative data and thematic analysis was used to analyse qualitative data. Findings showed that higher levels of discrimination were significantly associated with higher levels of loneliness. Higher levels of loneliness were significantly associated with higher levels of anxiety, which in turn led to high levels of depressive symptoms. Our study contributes to understanding the needs and capacities of international students in the wake of COVID-19 and simultaneously provides pragmatic program and policy implications for inclusive higher education environments and the overall health and well-being of this crucial US student population.