At present, in social transition period of China, reform of higher education is in full swing, with workload, job difficulty of university teachers greatly increased than before. Plus unique values and personality characteristics of the Millennial Generation, mental health of university teachers of the Millennial Generation has aroused more and more attention. However, research is still not enough. In this paper, questionnaire survey method was used to analyze the relationship between occupational stress, positive coping style, negative coping style, job burnout and mental health of university teachers of the Millennial Generation, and explore which path has the greatest effect on mental health with university survey data of Shaanxi Province, China from January 2016 to June 2016. It is found that occupational stress can produce significant positive predictive effect on negative coping style and job burnout, and have a significant negative predictive effect on positive coping style; Negative coping style has significant positive predictive effect on job burnout and mental health of university teachers of the Millennial Generation; Positive coping style has significant negative predictive effect on job burnout and mental health of university teachers of the Millennial Generation; Job burnout of university teachers of the Millennial Generation has significant positive predictive effect on mental health; Among all the paths that affect mental health, occupational stress has the greatest effect on mental health through job burnout. This study reveals the mechanism of influence of occupational stress on mental health of university teachers of the Millennial Generation, which can provide decision-making reference for colleges and universities to formulate strategies to intervene university teachers of the Millennial Generation's mental health problems from individual psychological level and strengthen mental health management of university teachers of the Millennial Generation.