Despite a large and increasing number of Korean international students in Australia, there has been limited research on their cross-cultural psychological experiences. The present study aimed to examine the relative contributions of various coping resources to explaining the variation in depressive symptom - an indicator of psychological adjustment - among Korean students in Australia. Based on previous research on cross-cultural adjustment, it was hypothesized that lower levels of English proficiency, social support, intercultural social self-efficacy, academic self-efficacy and social connectedness would be predictive of more depressive symptoms. Participants in the present study were 185 Korean international tertiary students (99 males, 85 females and one unknown) in Sydney and Canberra. One hundred and eighteen participants completed a self-report questionnaire in Sydney and 67 participants completed it in Canberra. Results obtained showed that lower levels of social support, intercultural social self-efficacy, academic self-efficacy and social connectedness predicted more depressive symptoms, but English proficiency was not associated with depressive symptoms. Regression analysis revealed that low levels of social connectedness and academic self-efficacy were the best predictors of Korean students’ depressive symptoms. Mediating analyses showed that the relationships between social support and depressive symptoms and between intercultural social self-efficacy and depressive symptoms were fully mediated by social connectedness. The implications of the present study include the need for future research and programs to enhance Korean and other international tertiary students’ cross-cultural coping resources, especially social connectedness, in a multicultural social environment.