BackgroundThe　mental　health　of　Chinese　international　student　returnees　is　a　critical　concern　impacting　their　well-being　and　successful　reintegration　into　home　society,　especially　in　the　post-COVID-19　era.　This　study　examines　how　beliefs　about　changing　living　conditions,　emigration　intentions,　and　belief　in　fate　influence　depression　levels　among　these　returnees.MethodsA　cross-sectional　survey　collected　data　from　1,014　returnees　through　WeChat　public　groups.　Depression　levels　were　measured　using　the　Patient　Health　Questionnaire-9　(PHQ-9),　and　Bayesian　analysis　with　Markov　Chain　Monte　Carlo　(MCMC)　algorithms　was　employed　for　statistical　examination.FindingsIt　was　found　that　a　stronger　belief　that　changing　one＇s　living　environment　can　bring　happiness　is　associated　with　lower　depression　levels,　highlighting　the　positive　role　of　agency　thinking　in　mental　health.　This　association　is　moderated　by　emigration　intentions　and　belief　in　fate.　Specifically,　among　returnees　who　believe　that　changing　living　conditions　enhances　happiness,　those　with　stronger　intentions　to　emigrate　from　China　exhibited　lower　depression　levels,　while　those　with　a　strong　belief　in　fate　showed　higher　depression　levels.ImplicationsThese　results　suggest　that　both　agency　and　pathway　thinking　significantly　affect　the　mental　health　of　returnees.　To　support　their　well-being　and　reintegration,　we　recommend　that　policymakers　create　more　diverse　and　inclusive　environments　within　China　that　accommodate　returnees＇　aspirations.　Educational　institutions　should　offer　counseling　services　that　bolster　returnees＇　proactive　strategies　for　achieving　personal　goals.　Additionally,　mental　health　interventions　should　address　cultural　beliefs,　such　as　fatalism,　which　might　hinder　proactive　coping　mechanisms.