Background: Young adults, particularly university students might be at greater risk of developing psychological distress, and exhibiting symptoms of anxiety and depression during the COVID-19 pandemic. Objective: The primary objective of this study was to explore and compare the determinants and predictors of mental health (anxiety and depression) during and after COVID-19 lockdown among university students. Methods: This was an observational, cross-sectional study with a sample size of 417 students. An online survey utilizing International Physical Activity Questionnaire–Short Form (IPAQ-SF), General Anxiety Disorder–7 (GAD-7) and Patient Health Questionnaire-9 (PHQ-9) was distributed to Universiti Tunku Abdul Rahman students via Google forms. Results: During lockdown, family income [χ² (1, n=124) = 5.155, p=0.023], and physical activity [χ² (1, n=134) = 6.366, p=0.012] were associated with anxiety, while depression was associated with gender [χ² (1, n=75) = 4.655, p=0.031]. After lockdown, family income was found to be associated with both anxiety [χ2 (1, n=111) = 8.089, p=0.004], and depression [χ2 (1, n=115) =9.305, p=0.002]. During lockdown, family income (OR=1.60, p=0.018), and physical activity (OR=0.59, p=0.011) were predictors for anxiety, and gender (OR=0.65, p=0.046) being the only predictor for depression. After lockdown, family income was a predictor for both anxiety (OR=1.67, p=0.011), and depression (OR=1.70, p=0.009). Conclusion: Significant negative effects attributed to the COVID-19 lockdown, and certain factors predisposed to the worsening of mental health status in university students. Family income, physical activity level, and gender were some of the major determinants that influenced the anxiety and depression.