Given the high prevalence of mental distress indicators, such as depression, among emerging adults, it is imperative to identify not only factors that place them at risk for mental distress, but also those that protect against it. This study tested the direct and indirect effects (via purpose in life) of gratitude, two aspects of grit (i.e., consistency of interest and perseverance of effort), and school belonging on three indicators of mental distress (i.e., depression, anxiety, and stress). A total of 468 Chinese university students (58.3% female), aged 18 to 27, in Macao, China responded to an anonymous questionnaire between April to May, 2016. As expected, all psychosocial factors were negatively associated with all three indicators of mental distress (r = −0.15 to −0.42, p < 0.05), with the exception of perseverance of effort, which had a significant, negative association with depression only. The results of path analysis showed that purpose in life significantly mediated the effect of school belonging and perseverance of effort on depression, whereas school belonging, gratitude, and consistency of interest all had direct effects on all three indicators of mental distress (p < 0.05). Our results also suggested that the two components of grit may have differential effects on mental distress among Chinese emerging adults. School-based programs should consider positive psychology interventions in Chinese populations.