The current research aimed to evaluate UK student mental health during the first 4 months of the COVID-19 pandemic. Specifically, we were interested in exploring factors that contribute to students' anxiety levels about COVID-19. Demographics, mental health symptomatology and well-being-related variables were tested as predictors of COVID-19 anxiety. A cross-sectional online survey was completed by 1,164 UK university students (71.8% females). Measures included self-reported data on stress, social phobia, anxiety, depression, psychotic-like experiences, hopefulness, group membership, social identity, belonging, loneliness, COVID-19 related variables and demographics. The majority of participants were between 18 and 24 years old (92.2%), White British (57.9%) and in the first or second year of their course study (63.12%). A series of multiple linear regressions revealed that being female, experiencing more stress and anxiety, and greater worry about COVID-19 and its effects on social relationships were significant in explaining students' pandemic-related anxiety. Students' level of pandemic-related anxiety was independent of ethnicity, socioeconomic background and pre-existing mental health problems. Worrying about the future was the most common pandemic-related stressor, but it was not a significant predictor of COVID-19 anxiety. Our findings are in line with previous findings that females and students experiencing more stress have been disproportionately affected by the COVID-19 pandemic. Our findings could inform the delivery of targeted stress-management interventions that might prove beneficial for student wellbeing.