Background: Digital health literacy (DHL) enables healthy decisions, improves protective behaviors and adherence to COVID-19 measures, especially during the era of the “infodemic”, and enhances psychological well-being. Objective: We aimed to explore the mediating roles of fear of COVID-19, information satisfaction, and the importance of online information searching on the association between DHL and well-being. Methods: A cross-sectional web-based survey was conducted among 1631 Taiwanese university students, aged 18 years and above, from June 2021 to March 2022. The collected data include sociodemographic characteristics (sex, age, social status, and financial satisfaction), the importance of online information searching, information satisfaction, fear of COVID-19, DHL, and well-being. A linear regression model was utilized to investigate factors associated with well-being, followed by a pathway analysis to assess the direct and indirect relationship between DHL and well-being. Results: The scores of DHL and overall well-being were 3.1 ± 0.4 and 74.4 ± 19.7, respectively. Social status (B = 2.40, 95% confidence interval (CI) 1.73–3.07, p < 0.001), DHL (B 0.29, 95% CI 0.10–0.49, p < 0.001), importance of online information searching (B = 0.78, 95% CI 0.38–1.17, p < 0.001), and information satisfaction (B = 3.59, 95% CI 2.22–4.94, p < 0.001) were positively associated with well-being, whereas higher fear of COVID-19 scores (B = −0.38, 95% CI −0.55-(−0.21), p < 0.001) and female (B = −2.99, 95% CI −5.02–0.6, p = 0.004) were associated with lower well-being, when compared with lower fear scores and male, respectively. Fear of COVID-19 (B = 0.03, 95% CI 0.016–0.04, p < 0.001), importance of online information searching (B = 0.03, 95% CI 0.01–0.05, p = 0.005), and information satisfaction (B = 0.05, 95% CI 0.023–0.067, p < 0.001) were significantly mediated the relationship between DHL and well-being. Conclusion: Higher DHL scores show direct and indirect associations with higher well-being scores. Fear, importance of online information searching, and information satisfaction significantly contributed to the association.