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Introduction: COVID-19 was responsible for widespread disturbance throughout the educational system and was harmful in a variety of ways. In particular with regard to the state of a student’s psychological health.

Purpose: This study examines the relationship between psychological distress (depression, anxiety, and stress) and coping strategies among the students of a private university in Bangladesh during the COVID-19 pandemic.

Methodology: A cross-sectional web-based survey was conducted from September 2020 to December 2021 on 951 respondents using the DASS-21 and Brief-COPE questionnaires.

Results: The majority of students were experiencing mild to extremely severe depression (75.8%), anxiety (88.5%), and stress (79.1%). The level of stress (p<.001), anxiety (p<.001), and depression (p=.23) was significantly higher among the female students compared with male students. This study also highlights the coping strategies of students. However, sex differences were not profound in adopting coping strategies. The results also showed significant correlation between some Brief-COPE measures, such as acceptance and self-blame (r=.708, p<.001); use of informational support and emotional support (r=.599, p<.001).

Conclusion: As the prevalence of mental health disorders was found to be higher among private university students, university authorities should seek necessary assistance from mental health professionals to support their students in overcoming psychological distress not only related to the pandemic but also related to their day-to-day life activities.