The COVID-19 pandemic, and the associated confinement, imposed a novel personal and social context for university students; nevertheless, few studies have addressed the effects of this on distance university students. Indeed, defining the needs of these students under such unique circumstances will allow them to receive the support necessary to effectively reduce their perceived stress and improve their academic achievement. A predictive model was designed to examine the direct effects of the variables' age and perceived study time on stress and academic achievement in students in an online learning context, as well as to assess the indirect effects through the mediating role of academic self-efficacy. Using path analysis, the model was tested on a sample of 1030 undergraduate students between 18 and 60 years old enrolled on a psychology degree course at the UNED (National Distance Learning University of Spain). The model provides a good fit to the data, confirming the mediating role of academic self-efficacy. Perceived study time is a factor negatively associated with stress and positively with academic achievement. However, it appeared that age was not related to academic achievement, indicating that academic self-efficacy had no mediating effect on these two variables. Academic self-efficacy is a mediator and protective factor in challenging times like the COVID-19 pandemic. These results may contribute to the design of educational and clinical interventions for students at an online learning university over an extended age range.