Background: Campus connectedness is a kind of social connectedness that determines the students' perception of their belonging to the other populace of the campus that includes students, teachers, administrators, and other staff. Campus connectedness plays a significant role in determining stress, anxiety, and depression among students. The purpose of the study was to examine the relationship of campus connectedness to stress, anxiety, and depression among nursing students. Methods: This cross-sectional analytical study was conducted among 680 undergraduate nursing students from nine nursing colleges affiliated with a university in Kathmandu Valley. Data were collected from June 1, 2018, through July 10, 2018. Depression, Anxiety, Stress Scale and Campus Connectedness Scale were used to collect data. The data were analyzed using Statistical Package for Social Sciences version 23. A one-way multivariate analysis of variance (MANOVA) test was used to examine the relationship of campus connectedness to stress, anxiety, and depression. Discriminant analysis was done as a follow-up procedure to MANOVA. Results: Students had moderate to extremely severe levels of depression (51.7%), anxiety (72.9%) and stress (47%). High campus connectedness score was observed (M = 62.42; SD = 9.79). Statistically significant differences were found among the levels of campus connectedness on the outcome variables, Wilks' lambda (λ) = 0.90, F(3, 676) = 24.56, p < 0.001. Depression demonstrated the strongest relationship with the discriminant function. Conclusions: There was a significant relationship of campus connectedness to stress, anxiety, and depression. Despite the high level of campus connectedness, students had moderate to severe levels of stress, anxiety, and depression. The campus adminstration must take measures and efforts to provide conducive environment and counseling services for the wellbeing of their students.