In general, the Czech and Slovak Republic are among the countries with increased alcohol consumption. It is clear that increased consumption can predict the occurrence of negative consequences that may subsequently be associated with various mental disorders. One of these mental disorders is depression, which is common in young adults and brings difficulties into their lives that can turn into problems in the future. The study examined the relationship between alcohol-related consequences and depressive symptoms in a sample of university students from the Czech and Slovak Republics in order to map the situation in these regions, where this problem is still ignored (n = 2514; CZE = 47.5%). The research included data from standardized questionnaires, namely the Young Adult Alcohol Consequences Questionnaire (YAACQ), which can predict alcohol use problems, and Health Questionnaire of depression (PHQ-9). The data was collected during the COVID-19 pandemic. Regarding sex differences, a higher YAACQ score was found in males and, conversely, a higher PHQ-9 score was identified in females. The results of correlation and regression analyses revealed significant associations between the scores in the individual YAACQ subscales and the PHQ-9 score, while low to moderate correlations were found in most cases. In all cases, positive trajectories were identified, meaning that the increased risk of depressive disorder can be associated with experience in selected dimensions of alcohol-related consequences. Stronger associations occurred in females than in males. In terms of practical implications, high priority was given to prevention programs and counseling. Professionals’ efforts to help young people should be sex-oriented, while females were more vulnerable to depression, males were prone to the consequences of alcohol use.