This study examines the influence of the COVID-19 pandemic on anxiety and depression symptoms among college students, paying special attention to gender-related differences. To do that, we use data from a special survey applied to all students from one of Mexico's largest universities six months after the start of the COVID-19 pandemic. The survey was applied online through the university's IT platform, obtaining a response rate of 48.2% and a final sample of 66,067 students. We follow an empirical strategy commonly found in the literature that involves the use of a Negative Binomial Regression Model on two mental health scales: the Hamilton Anxiety Scale and the Zung Depression Scale. The loss of household income and the resulting necessity to participate in the labor market, as well as the lack of sufficient infrastructure to face confinement and online study, were identified as the two main pathways via which the COVID-19 pandemic harmed the mental health of college students. Although female students presented higher rates of anxiety and depression and were more affected by the vulnerable economic and labor conditions of their families, male students were more affected by the lack of availability of space and equipment to attend online classes at home. Since the most economically disadvantaged students experience higher rates of anxiety and depression, particularly among women, this could have medium and long-term effects in terms of economic and gender inequality. These findings highlight the need for specific prevention and intervention initiatives to alleviate anxiety and depression.