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Background: Since the COVID-19 outbreak, the severity of college student's mental health has increased, with depression being the most prominent. This study's primary purpose was to explore (1) whether the perceived stress of COVID-19 was associated with depression through sequential mediation of mindfulness and dysexecutive function and also (2) the temporal association among mindfulness, dysexecutive function and depression. Methods: We performed two studies to evaluate dysexecutive function as a mechanism through which mindfulness impacts depression under the stress of the COVID-19 pandemic. Study 1 used a sequential mediation model to test the mediating role of mindfulness and dysexecutive function between the perceived stress of COVID-19 and depression based on 1,665 emerging adults. Study 2 used a random-effect, cross-lagged panel model (RE-CLPM) to test the directionality among mindfulness, dysexecutive function, and depression based on 370 emerging adults. Results: The cross-sectional study showed that perceived stress of COVID-19 was positively associated with depression through the sequential mediation of mindfulness and dysexecutive function (effect: 0.08, 95%CI = [0.07, 0.10]), also through the mediation of mindfulness (effect: 0.05, 95%CI = [0.03, 0.06]) and dysexecutive function (effect: 0.08, 95%CI = [0.06, 0.10]) separately. The RE-CLPM study indicated that dysexecutive function mediates the reciprocal relation between mindfulness and depression at the within-person level. Conclusion: These results suggest that dysexecutive function is an intermediate psychological mechanism that exacerbates depression under pandemic-related stress. Mindfulness can predict dysexecutive function and subsequently improve depression. As depression under pandemic-related stress can weaken the mindful state, long-term mindfulness practices are needed to maintain mental health during COVID-19. Dysexecutive function is a potential cognitive risk factor of depression under pandemic stress using cross-sectional data. The random effect cross-lagged panel model (RE-CLPM) demonstrated temporal association among mindfulness, dysexecutive functions, and depression. Long-term mindfulness practices are needed to maintain mental health under COVID-19 stress. [ABSTRACT FROM AUTHOR]