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The mental health of young adults, particularly students, is at high risk during the COVID-19 pandemic. The purpose of this study was to examine differences in mental health between university students in nine countries during the pandemic. The study encompassed 2349 university students (69% female) from Colombia, the Czech Republic (Czechia), Germany, Israel, Poland, Russia, Slovenia, Turkey, and Ukraine. Participants underwent the following tests: Patient Health Questionnaire (PHQ-8), Generalized Anxiety Disorder (GAD-7), Exposure to COVID-19 (EC-19), Perceived Impact of Coronavirus (PIC) on students’ well-being, Physical Activity (PA), and General Self-Reported Health (GSRH). The one-way ANOVA showed significant differences between countries. The highest depression and anxiety risk occurred in Turkey, the lowest depression in the Czech Republic and the lowest anxiety in Germany. The χ² independence test showed that EC-19, PIC, and GSRH were associated with anxiety and depression in most of the countries, whereas PA was associated in less than half of the countries. Logistic regression showed distinct risk factors for each country. Gender and EC-19 were the most frequent predictors of depression and anxiety across the countries. The role of gender and PA for depression and anxiety is not universal and depends on cross-cultural differences. Students’ mental health should be addressed from a cross-cultural perspective.