Nursing students' stress, protective factors (e.g. resilience, social support, mindfulness and self‐efficacy) and psychological well‐being (PWB) have been well reported in the literature. However, the interactions of these variables were scarcely examined in the latter part of the COVID‐19 pandemic and in the context of a developing country. This cross‐sectional correlational study complying with STROBE guidelines tested a hypothetical model of the interrelationships of nursing students' stress, protective factors and PWB using structural equation modelling (SEM). Nursing students (n = 776) from five nursing schools in the Philippines were conveniently recruited from September 2022 to January 2023. Six validated self‐report scales (Perceived Stress Scale, Multi‐dimensional Scale of Perceived Social Support, Generalized Self‐Efficacy Scale, Connor–Davidson Resilience Scale, Mindful Attention Awareness Scale, and Psychological Wellbeing Scale) were used to collect data. SEM, mediation analyses and path analyses were used for data analysis. The emerging model demonstrated acceptable model fit parameters. Stress negatively impacted protective factors, while all the protective factors positively influenced PWB. Social support mediated the influence of stress on resilience, mindfulness and PWB. Resilience is a significant mediator of stress, self‐efficacy, social support and PWB. Mindfulness mediated the influence of stress, social support and self‐efficacy on PWB. Finally, self‐efficacy had a mediating role between resilience and mindfulness. Nursing institutions and nurse educators can use the proposed model as their basis for empirical and theoretical evidence in creating programmes that will strengthen nursing students' protective factors, thus reducing stress while improving PWB and learning outcomes.