BackgroundEmpathy has been associated with a range of positive outcomes, including social connection, pro‐social behavior, and mental health. Nonetheless, acknowledging the multidimensional aspects of empathy, budding research indicates that sometimes empathy may precipitate negative health outcomes.AimIn the present paper, we explore the extent to which the multidimensional aspects of empathy—as measured by the Interpersonal Reactivity Index—may relate to the experience of increased stress during the COVID‐19 pandemic. We also examine potential behavioral moderators (altruism) and social mediators (loneliness) of any such effect.MethodWe conducted a cross‐sectional survey study of 2595 Danish university students and implemented linear regression analyses to determine the relationships between our key variables.ResultsIn both crude and adjusted regression models, our findings indicate positive associations between the IRI subscales Fantasy, Empathic Concern, and Personal Distress on self‐reported stress and loneliness. Perspective Taking was marginally and inversely associated with stress but not loneliness. Altruism did not moderate these associations, but loneliness did mediate the effects of Fantasy, Empathic Concern, and Personal Distress on stress.DiscussionOur results emphasize the importance of conceptualizing empathy in multi‐dimensional terms. Further, our study highlights the potential negative health consequences of empathy in certain settings. These results may help focus future research in this area and feed into mental health interventions.