Globally the high prevalence of psychological distress among university students is concerning. Two factors associated with low psychological distress among university students are adaptive coping strategies and campus connectedness. The current study examines the cross-cultural differences among university students across three countries, Australia, United States of America and Hong Kong in the utilization of academic coping strategies, levels of campus connectedness and psychological distress. Cross-cultural differences were examined using the theory of cultural orientations; individualism and collectivism. Participants consisted of 217 university students. The results indicated no significant differences between the countries on individualism or collectivism or on the reported use of academic coping strategies and levels of campus connectedness. Lower use of avoidance coping and higher levels of campus connectedness predicted significantly lower psychological distress for university students in all countries. The implications of the results are discussed along with limitations and future directions.