Due to the varied social inequities, the pandemic has prompted unprecedented attention to the social divides in learning gains via online/blended learning. It has been identified that approximately 27,000 Chinese cross-border students live on the Mainland but attend Hong Kong schools every day. The pandemic has restricted the passage of the Shenzhen-Hong Kong border, and these students suffer greatly as they may still be forced to attend online lessons at home for over two years, even if schools return to face-to-face teaching. This study is a 2-year longitudinal case study with a purposeful sampling of a primary school that has over 70% of Chinese cross-border students. A mixed-methods approach was adopted to examine students' online learning experiences via teachers' interviews. Regarding their learning challenges, 35 students were invited to complete a 5-point Online Self-regulated Learning Questionnaire (OSLQ) and an open-ended opinion survey, which was then triangulated with teachers' feedback. First, this study has identified three major challenges that cross-border students suffer the most in online learning: self-regulation strategies, technical challenges, and social interaction. Second, several teaching strategies have been found to offer additional support (e.g., after-school classes and learning centers in Shenzhen) for cross-border students to sustain their online learning and alleviate their learning challenges. Based on these findings, this study contributes to documenting the learning challenges for cross-border students during the pandemic, which provides insights for other schools to facilitate cross-border education and develop appropriate online learning strategies for cross-border students.