(1) This study aims to examine the prevalence of depression and its correlation with Acculturative Stress and Social Connectedness among domestic and international students in an international university in Japan. (2) Methods: A Web-based survey was distributed among several classes of students of the university, which yielded 268 responses. On the survey, a nine-item tool from the Patient Health Questionnaire (PHQ-9), the Social Connectedness Scale (SCS) and Acculturative Stress Scale for International Students (ASSIS) were used together with socio-demographic data. (3) Results: The prevalence of depression was higher among international than domestic students (37.81% and 29.85%, respectively). English language proficiency and student age (20 years old) showed a significant correlation with depression among domestic students (β = −1.63, p = 0.038 and β = 2.24, p = 0.048). Stay length (third year) also displayed a significant correlation with depression among international students (β = 1.08, p = 0.032). Among international and domestic students, a statistically significant positive correlation between depression and acculturative stress, and negative associations of social connectedness with depression and acculturative stress were also found. (4) Conclusions: The high prevalence of depression, and its association with Acculturation stress and Social Connectedness, among the students in this study highlight the importance of implementing support programs which consider the role of Acculturation and Social Connectedness.