In the context of mental health, university students have been considered a vulnerable population. However, limited studies have underscored the association between preventive health behaviour levels and mental health effects among nursing students. The current cross‐sectional study provides a comparative analysis of the impact of mental health factors on nursing students in Japan and the United States (US) in the context of the coronavirus disease 2019 (COVID‐19) pandemic. The study consisted of 878 participants, comprising both undergraduate and graduate nursing students from four universities in Japan, and one from the US. Hierarchical logistic regression was used to analyse the participant data in this study. In contrast to the American students, the Japanese students demonstrated significantly lower levels of perceived control and significantly higher levels of preventive health behaviours. Furthermore, Japanese students exhibited significantly higher levels of stress and/or symptoms of depression induced by the social distancing orders compared to the American students (
z
= −4.218,
P
< 0.001). However, no difference was observed after adjusting for perceived control, individual factors, socio‐economic factors, and preventive behaviours. During the pandemic, risk factors that can worsen mental health among the nursing students included younger age [odds ratio (95%CI) = 0.62 (0.48–0.81)], women [OR = 2.17 (1.02–4.61)], higher preventive health behaviour [OR = 1.05 (1.02–1.08)], lower perceived control [OR = 0.97 (0.94–0.99)], and lower perceived health competence [OR = 0.93 (0.90–0.96)]. Thus, this study recommends establishing training programmes that enhance perceived control and perceived health competence while encouraging preventive behaviour to support the mental health of nursing students, particularly young female students.