First-year university students encounter considerable academic stress, possibly resulting in mental health problems. Although studies have illustrated the academic and health benefits of sense of belonging, few studies have focused on its role in the relationship between academic stress and mental health complaints. The current study used structural equation modeling to examine this role among first-year students (N = 363) at two Flemish universities. Sense of belonging was considered to consist of perceptions of social match and personal interaction. Personal interaction partially mediated the relationship between academic stress and anxiety-related complaints. For depression-related complaints, a full mediation was found. Policy initiatives were formulated, aimed at encouraging students to learn and work together, which may promote a smooth transition to the university environment.