In social media–supported online learning environments, university students frequently experience knowledge anxiety, a multidimensional psychological state encompassing information overload, social comparison, and learning avoidance behaviors. Guided by social cognitive theory, this study examined how knowledge anxiety influences online learning self-efficacy (OLSE) and whether learning strategies mediate this relationship. A survey was conducted with 510 Chinese undergraduate students, measuring knowledge anxiety, learning strategies, and OLSE using validated scales. Structural equation modeling and bootstrapping procedures were employed to test direct and indirect effects.Results indicated that knowledge anxiety negatively predicted OLSE (β = -0.093, p < 0.01), with learning strategies partially mediating this effect; the indirect effect (β = -0.210) exceeded the direct effect. Dimension-level analysis revealed that planning and monitoring strategies had stronger mediating effects (β = 0.564, f² = 0.512) than resource-seeking strategies (β = 0.307, f² = 0.152). These findings highlight the critical role of strategic learning behaviors in mitigating the negative impact of knowledge anxiety on students’ self-efficacy.The study extends social cognitive theory to digital learning contexts, clarifying dynamic pathways connecting emotional, cognitive, and behavioral factors. Practically, it suggests that higher education institutions should design interventions to reduce knowledge anxiety, enhance planning and monitoring skills, and provide targeted support for resource-seeking behaviors, thereby strengthening students’ confidence and effectiveness in online learning.