Teacher empathy has become an essential topic in educational research for enhancing students’ learning achievement. However, most existing studies focused on the direct relationship between teacher empathy and students’ learning achievement. They ignored the mediation of student factors (e.g., students’ sense of school belonging) between teacher empathy and learning achievement. Among the few studies that included sense of school belonging, most were based on classroom-based observations, which render the generalizability of their findings uncertain. The present study was designed to investigate the relationship between teacher empathy, students’ sense of school belonging, and learning achievement with data from the Programme for International Student Assessment (PISA) 2018 generated by 506,317 15-year-olds from 75 countries/territories (mean age = 15.79, SD = 0.29; 51% girls). Results of multilevel structural equation modeling showed that teacher empathy was positively related to reading achievement directly and indirectly through students’ sense of school belonging. Specifically, students’ sense of school belonging mediated 29% of the total effect of teacher empathy on reading achievement. These results have theoretical implications for future research in teacher empathy on the importance of simultaneously including other student features, such as students’ cognitive and emotional differences. The results also have practical implications for teacher training on raising teachers’ attention to student emotions during reading instruction.