The COVID-19 pandemic has resulted in a Movement Control Order (MCO) in Malaysia and the subsequent closure of all educational institutions. We aimed to examine the psychological impact of the MCO among clinical undergraduates. A cross-sectional study was conducted using self-reported questionnaires that were distributed online using the Depression, Anxiety and Stress Scale-21 (DASS 21), Short Warwick Edinburgh Mental Well-Being Scale (SWEMWBS), and the newly designed MCO effect questionnaire. Seven hundred seventy-two students completed the survey. The prevalence of psychological distress was 52.8%, with around 60% of respondents reporting disruption to their daily lives. Older (p = 0.015) and more senior students (p < 0.001) were less likely to be anxious than their younger and junior counterparts, respectively. A greater number of social support (three or more) was linked to a lower score of depression (p = 0.005) and stress (p = 0.045). Undergraduates who received family support demonstrated lower depression scores (p = 0.037) and higher mental wellbeing (p = 0.020) compared to those without. Government support was independently associated with a lesser risk of depressive symptoms (Adjusted odds ratio, AOR 0.68; 95% confidence interval, CI 0.47–0.99) and a greater sense of mental wellbeing (AOR 1.54; 95% CI 1.06–2.22). The present finding provides evidence of a high prevalence of psychological distress among clinical undergraduates during the COVID-19 pandemic. Appropriate social support is important in alleviating anxiety and stress and promoting greater mental wellbeing amongst students during the nationwide quarantine.