Background: This study investigated the correlation between depression, anxiety, and stress among college students engaged in online learning during the coronavirus disease 2019 (COVID-19) pandemic and self-directed learning (SDL) ability, which could provide a scientific basis for mental health education of the college students.Methods: A cross-sectional study was conducted among 5,558 students from two universities in Anhui province, East China. The Depression, Anxiety, and Stress Scale-21 (DASS-21) and the Self-directed Learning Ability Scale were used to conduct an online questionnaire survey.Results: A total of 35.15, 36.32, and 17.24% of college students reported symptoms of depression, anxiety, and stress, respectively. Males and nonmedical students were at higher risks to suffer from depression, anxiety, and stress. In adjusted model, compared with Q1 of self-management ability, the odds ratio (OR) of the Q2, Q3, and Q4 were as follows: 0.635 (0.531–0.759), 0.504 (0.415–0.611), and 0.312 (0.248–0.392) for depression; 0.639 (0.535–0.764), 0.653 (0.540–0.789), and 0.421 (0.338–0.525) for anxiety; and 0.649 (0.523–0.805), 0.579 (0.457–0.733), and 0.482 (0.364–0.637) for stress. For information capability, decrease in risk was even more pronounced: Q2 (0.654, 0.540–0.794), Q3 (0.560, 0.454–0.690), and Q4 (0.233, 0.181–0.301) for depression; Q2 (0.781, 0.646–0.945), Q3 (0.616, 0.501–0.757), and Q4 (0.276, 0.216–0.353) for anxiety; and Q2 (0.444, 0.357–0.553), Q3 (0.454, 0.357–0.578), and Q4 (0.272, 0.202–0.368) for stress. Compared with the Q2 group of cooperation learning ability, cooperation learning ability quartiles were positively associated with depression (Q1: 1.382, 95% CI: 1.138–1.678), anxiety (Q4: 1.260, 95% CI: 1.008–1.576), and stress (Q1: 2.002, 95% CI: 1.583–2.532; Q3: 1.600, 95% CI: 1.252–2.044; Q4: 1.674, 95% CI: 1.243–2.255).Conclusion: The prevalence of depression, anxiety, and stress among college students was high for those studying online at home during the COVID-19 pandemic, especially among nonmedical students and males. SDL ability was negatively associated with negative emotions of the college students during this period of online learning.