COVID-19 has spread throughout the world, resulting in significant morbidity, mortality, and negative psychological effects among general population. However, university students are particularly vulnerable in terms of mental health. The present study evaluated the association between mental health, quality of sleep, aggression, and physical activity in university students in Mexico after 1 year of dealing with the COVID-19 pandemic in Mexico, including a gender-sensitive analysis. Participants (935 university students) completed an online questionnaire which collected information regarding demographic data, psychological distress (IES-R scale), depression, anxiety, and stress (DASS-21), aggressiveness Buss-Perry Aggressive Questionnaire, sleep quality (PSQI) and physical activity (IPAQ-S). Findings showed that female students showed significantly higher scores in psychological distress, anxiety, stress scores and sleep quality, as compared to male students. By contrast, male students showed significantly higher scores on aggressiveness than female students. In addition, on physical activity, females performed significantly higher MET-min/week on moderate and high levels. Finally, liner regression model accounted for approximately 73.5% of the variance in DASS-21 scores, with the body mass index, IES-R, Pittsburgh Sleep Quality Index, and IPAQ subscales, emerging as significant individual (positive) predictors. Therefore, the pandemic affected female and male students differently. Female students reported more psychological distress, anxiety, and stress while male students reported higher aggressiveness. The differences observed may be due to physiological differences, the response to stress, and differences in sensitivity to life events.