<p>Understanding the mental Health challenges faced by PhD students is becoming increasingly vital, given their implications for academic productivity and the sustainability of research systems. Drawing on the cognitive appraisal theory of stress, this study investigates the psychological mechanisms through which academic stress contributes to depression among PhD students, with a focus on the moderating role of age. A sample of 431 Chinese PhD students completed online self-report measures of academic stress, academic burnout, self-criticism, and depression. Mediation analysis revealed that academic burnout and self-criticism sequentially mediated the relationship between academic stress and depression. Additional moderated mediation analysis indicated that age significantly influenced these pathways: it attenuated the effect of academic stress on academic burnout, but amplified the effect of academic burnout on self-criticism. These findings highlight the complex and age-contingent dynamics through which stress affects mental health in PhD education. This study also underscores the need to consider age-sensitive interventions and structural adjustments within PhD education and employment systems. It also contributes to the growing international literature on PhD students’ mental health by identifying culturally- and institutionally-shaped stressors that merit greater scholarly and policy attention.</p>