Athletes often have various difficulties including injuries, frustrations, slumps, as well as discord with coaches and teammates. However, they can achieve fame by overcoming these difficulties and persevering without giving up. This study investigated positive psychological characteristics of university athletes, focusing on correlations among mindsets, self-efficacy, and depression. The Stress Mindset Measure, developed by Crum et al. (2013), the General Self-Efficacy Scale (GSES), and the PHQ-9 were administered in a group setting and 602 valid responses were returned. Participants were classified into two groups; “those without the experience of competitive sports + those having experienced competitive sports for less than four years (competitive sports negative group)” and “those having experienced competitive sports for more than five years (competitive sports positive group).” The results of statistical analysis indicated significant correlations among the three variables. Especially, a relatively high negative correlation was found between general self-efficacy and depression. Next, an intergroup comparison was conducted, which indicated that the competitive sports positive group tended to have a positive mindset for stress, significantly high general self-efficacy, and significantly low depression. These results suggested that university athletes might develop a growth mindset by continuing competitive sports for approximately five years and maintaining good mental health.