In many scientific studies, it becomes increasingly important to delineate the causal pathways through a large number of mediators, such as genetic and brain mediators. Structural equation modeling (SEM) is a popular technique to estimate the pathway effects, commonly expressed as products of coefficients. However, it becomes unstable to fit such models with high dimensional mediators, especially for a general setting where all the mediators are causally dependent but the exact causal relationships between them are unknown. This paper proposes a sparse mediation model using a regularized SEM approach, where sparsity here means that a small number of mediators have nonzero mediation effects between a treatment and an outcome. To address the model selection challenge, we innovate by introducing a new penalty called Pathway Lasso. This penalty function is a convex relaxation of the non-convex product function, and it enables a computationally tractable optimization criterion to estimate and select many pathway effects simultaneously. We develop a fast ADMM-type algorithm to compute the model parameters, and we show that the iterative updates can be expressed in closed form. On both simulated data and a real fMRI dataset, the proposed approach yields higher pathway selection accuracy and lower estimation bias than other competing methods.