COVID-19 related social isolation measures and school closures have likely increased students' stress levels. In our study, we assess the level of psychological distress and psychosocial factors among students in Mexico at the beginning of the pandemic. We conducted a cross-sectional exploratory study with 848 participants, the majority undergraduate or postgraduate (79.7%). Participants completed the Impact of Event Scale--Revised to measure emotions, and a COVID-19 questionnaire. We conducted a logistic regression analysis to find variables associated with stress: 36% (n = 309) had elevated stress, 31.4% (n = 266) anxiety, and 18.2% (n = 154) sadness often or all the time. Those who identified as women and reported a reduction in their incomes also reported a higher stress level. Stress was positively correlated with anxiety, anger, sadness, days in isolation, and hours watching TV daily; and negatively correlated with relaxation and happiness. The variable most strongly correlated with stress was a high perception of infection risk. Our findings will inform mental health strategies for students who are at higher risk of stress due to the COVID-19 pandemic response.