Background Social media use is pervasive among university students, but the cognitive pathways through which it may influence depressive mood are not well understood, particularly in low‑resource settings. This study examined patterns of social media engagement, occurrence of depression, and lived experiences of depressive moods among Nigerian undergraduates, with a focus on cognitive mechanisms such as social comparison, automatic negative thoughts, and reappraisal. Methods An explanatory sequential mixed‑methods design was used. Quantitative phase: 417 undergraduates completed measures of social media engagement (SMEQ) and depression (PHQ‑9). Qualitative phase: semi‑structured interviews with 19 students were analyzed using thematic analysis, with a focus on cognitive processes. Results High social media engagement was reported by 89.7% of participants, yet most students (92.0%) had low depression scores. However, regression analysis showed that social media engagement significantly predicted depression (B = 0.234, p < .001). Qualitatively, students described upward social comparison as the primary cognitive trigger for depressive moods, generating automatic negative thoughts such as "I am falling behind" and "What am I doing wrong?" Rumination about online feedback (or lack thereof) and negative self‑appraisal were common. Adaptive cognitive strategies included reappraisal ("social media does not reflect real life") and selective engagement, but professional help‑seeking was rare. Conclusions While most students do not meet clinical depression criteria, social media engagement is a significant predictor of depressive symptoms, and cognitive mechanisms—especially upward comparison and rumination—mediate this relationship. Interventions should target these cognitive processes (e.g., cognitive restructuring, reappraisal training) and reduce barriers to professional support.