OBJECTIVES: To investigate the association between alcohol use and depression among university students in Hong Kong, their stress-coping methods, and their knowledge and perception of the effects of alcohol on health. METHODS: 345 full-time undergraduate students from The University of Hong Kong were invited to complete a questionnaire to assess their alcohol consumption (Alcohol Use Disorders Identification Test, CAGE questionnaire), depressive symptoms (Patient Health Questionnaire-9), and stress-coping methods (Coping Orientation to Problems Experienced Inventory), as well as knowledge and perception of alcohol consumption on health. Multiple linear regression was used to determine significant variables associated with depressive symptoms. Multinominal logistic regression was used to determine the effect of such variables on depressive symptom caseness and AUDIT drinking risk groups. RESULTS: 43.2% of respondents were moderate- to high-risk drinkers, but only 23.2% were self-reported as moderate- to high-level drinkers. 57.9% of respondents had mild to severe depressive symptoms. Probable depression was more likely to occur in female students, those with higher general stress, those who do not use social support for stress-coping, and those who smoke. High-risk drinkers were more likely to occur in older students, smokers, those with higher household income, and those with higher general stress levels. Students with higher levels of depressive symptoms and higher risk of alcohol consumption were more likely to use avoidance for stress-coping. 89.5% of students considered alcohol consumption moderately to very harmful to health, but students demonstrated only moderate knowledge levels of alcohol consumption on health. CONCLUSION: Alcohol consumption and depressive symptoms are prevalent among university students in Hong Kong. The use of avoidance for stress-coping is common in those with higher levels of depressive symptoms and higher-risk drinkers. Students tend to avoid seeking help for depressive symptoms and potentially take up drinking as a coping strategy. Context-specific approaches should be used when providing counselling services for student wellbeing in university settings. Further education of university students on knowledge and perception of alcohol consumption on health should be provided.