The rapid spread of COVID-19 worldwide was accompanied by intense fears, confusion, worries, anger, and stress threatening people’s mental health. Unprecedented measures to slow down and prevent the transmission of COVID-19 have had various impacts on the population’s health behaviour and mental health. The main purpose of the present study is to investigate the lockdown’s effects on university students’ mental health in Romania. Based on a cross-sectional design, the survey data were collected from a sample of 722 participants (247 males; M = 21.1 years; SD ± 1.73). A path analysis was performed to verify the hypothesised direct and indirect effects included in the multiple mediation model. The findings showed a positive association between stress and boredom proneness, missing daily social interactions, spending more time on phone conversations, and the increasing interest in following news about the pandemic. The path analysis revealed an excellent fit between the proposed multiple mediation model and the sample data. Boredom proneness and missing daily social interactions both affected stress, directly and indirectly, through more time spent on phone conversations. In addition, it was found that the increased interest in following news about the pandemic mediated the relationship between boredom proneness and perceived stress. In terms of gender differences, our findings revealed that female students experienced significantly higher stress levels than male students, perceived to a greater extent the lack of daily social interactions, and spent more time on phone conversations. Overall, the findings further extend the empirical evidence on university students’ mental health in the context of the COVID-19 pandemic. Therefore, universities need to organise support programmes focused on developing university students’ coping strategies to maintain their mental health even in adverse contexts.