Background: The recent pandemic of COVID-19 has had a tremendous impact on healthcare frontliners. This study sought to assess healthcare shift workers’ depression, anxiety, and stress and its associated factors. Methods: The sampling frame includes healthcare shift workers directly managing COVID-19 cases around Klang Valley, Malaysia. The participants’ mental health status was assessed using the Depression, Anxiety, Stress Scale-21 (DASS-21). The associated factors specified in this study include sleep quality, physical activities, and eating habits. Pearson’s χ2 and simple and multivariable binary logistic regression models were constructed following the Hosmer–Lemeshow approach to determine the potential associated factors. Results: A total of 413 participants were recruited. Overall, 40.7% of participants had one or more symptoms of depression, anxiety, or stress. Poor sleep quality was significantly associated with all mental health outcomes of depression, anxiety, and stress. Inactivity was found to be strongly associated with symptoms of depression and anxiety. At the same time, eating habits were strongly associated with anxiety and stress. Conclusions: Sleep quality, inactivity, and eating habits that were found to be associated with the mental health status of healthcare shift workers are modifiable factors that must be addressed to curb mental health issues among this group of workers.