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The COVID-19 pandemic and the lockdown has taken the world by storm. This study examines its impact on the anxiety level of university students in Malaysia during the peak of the crisis and the pertinent characteristics affecting their anxiety. A cross-sectional online survey, using Zung’s self-rating anxiety questionnaire was conducted during the COVID-19 pandemic and lockdown. Out of the 983 respondents, 20.4%, 6.6%, and 2.8% experienced minimal to moderate, marked to severe, and most extreme levels of anxiety. Female gender (OR = 21.456, 95% CI = 1.061, 1.998, p = 0.020), age below 18 years (OR = 4.147, 95% CI = 1.331, 12.918, p = 0.014), age 19 to 25 (OR = 3.398, 95% CI = 1.431, 8.066, p = 0.006), pre-university level of education (OR = 2.882, 95% CI = 1.212, 6.854, p = 0.017), management studies (OR = 2.278, 95% CI = 1.526, 3.399, p < 0.001), and staying alone (OR = 2.208, 95% CI = 1.127, 4.325, p = 0.021) were significantly associated with higher levels of anxiety. The main stressors include financial constraints, remote online teaching and uncertainty about the future with regard to academics and career. Stressors are predominantly financial constraints, remote online learning, and uncertainty related to their academic performance, and future career prospects.