Even before the current pandemic, university students were known to have high levels of hassles, anxiety, and depressive symptoms. In all probability, the advent of COVID-19 has substantially raised these levels. The present study measured the emotional state of university students during lockdown and identified the relevant situational and psychological factors. To this end, 1,297 French university students were assessed during lockdown, which lasted from 16 March to 11 May in France. Situational factors included the belief that lockdown was compromising their future job prospects, COVID-19 symptoms, and health concerns. Psychological factors included students' implicit theory of emotion, and the coping strategies they used during lockdown. We explored the extent to which these factors were associated with levels of hassles, anxiety, and depressive symptoms. Results indicated that students' belief that lockdown was compromising their future job prospects was positively related to hassles (r = 0.34, p < 0.001), while concerns about their own health and that of relatives were positively associated with anxiety (r = 0.37 and 0.34; p < 0.001). In addition, use of the positive reframing coping strategy mediated the effect of students' implicit theory of emotion on their depressive symptoms. Even though the national lockdown is now over, the pandemic will continue to have a major impact on university students over the coming months. It is therefore essential for universities to provide them with adequate psychological support.