Introduction: Entry into tertiary education is a critical juncture where adolescents proceed to adulthood. This study aimed to determine the prevalence of depression and anxiety, and factors associated with such symptoms, among university undergraduate students in Hong Kong. Methods: A cross-sectional questionnaire study was employed. A total of 1200 undergraduate students from eight University Grants Committee-funded universities were invited to complete three sets of questionnaires, including the 9-item patient health questionnaire for screening of depressive symptoms, the 7-item generalised anxiety disorder scale for screening of anxiety symptoms, and a sociodemographic questionnaire. Results: Among the valid responses (n=1119) analysed, 767 (68.5%) respondents indicated mild to severe depressive symptoms, which were associated with mild to severe anxiety symptoms. Several lifestyle and psychosocial variables, including regular exercise, self-confidence, satisfaction with academic performance, and optimism towards the future were inversely related with mild to severe depressive symptoms. A total of 599 (54.4%) respondents indicated mild to severe anxiety symptoms, which were associated with level of academic difficulty. Depression and anxiety among university students in Hong Kong New knowledge added by this study • Up to 9% of university students in Hong Kong exhibit moderately severe to severe depressive symptoms. • Up to 5.8% of university students in Hong Kong exhibit severe anxiety symptoms. • Respondents reporting regular exercise, higher self-confidence, and better satisfaction with both friendship and academic performance had fewer depressive and anxiety symptoms. Implications for clinical practice or policy • Health care workers and organisations such as universities should be aware of potential depression and anxiety among university undergraduate students. • Adolescents and young adults in Hong Kong should be educated, to raise social awareness of depression and anxiety among university undergraduate students.