Stress, anxiety, and depression have a negative impact on students’ learning and academic performances. In our longitudinal study conducted on dental students from Cluj-Napoca and Oradea, the most representative university centers in north-west of Romania, we evaluated the prevalence and effect of exams on stress, anxiety, and depression, in association with socio-demographic factors. The students self-administered the DASS-21R questionnaire at the beginning of the academic year 2022–2023, before the Christmas holiday, during the winter session, and after the winter session. Students from Cluj-Napoca had higher stress scores at the beginning of the academic year compared to those from Oradea (6.8% vs. 3.7%, P-value < 0.05), especially the females and students with no previous university graduations. Anxiety and depression were significantly more frequently reported by students who study in Cluj-Napoca compared to those who study in Oradea (anxiety 37% vs. 28.2%, P-value < 0.05; depression 17% vs. 11%, P-value < 0.05). We did not observe any significant differences in DASS-21R scores regarding summer jobs, foreign language knowledge, or monthly income. Our results support the needs for interventions regarding stress, anxiety, and depression implemented from the very beginning of university studies and, along with strategies for stress prevention and management of these conditions.