University students’ mental health and well-being is a growing public health concern. There is a lack of studies assessing a broad range of mental health domains by sex and academic level of study. This cross-sectional online survey of BSc, MSc, and PhD students (n = 3353, 67% female) enrolled at one university in Germany assessed a wide scope of mental health domains, covering positive (i.e., self-rated health, self-esteem, student engagement) and negative aspects (i.e., perceived stress, irritation, and screening positive for depression, anxiety, comorbidity, and psychological distress). We evaluated differences in mental health by sex and academic level. Overall, although self-rated health did not differ by sex and academic level, females and lower academic level were associated with less favorable mental health. Males reported higher prevalence of high self-esteem, and higher engagement (all p ≤ 0.04). Conversely, mean perceived stress and cognitive/emotional irritation were higher among females, as were rates for positive screenings for anxiety, anxiety and depression comorbidity, and psychological distress (p < 0.001 for all). Likewise, lower academic level (BSc) was associated with lower rates of high self-esteem (p ≤ 0.001), increased perceived stress (p < 0.001), and higher prevalence of positive screening for depression, anxiety, comorbidity, and psychological distress (p ≤ 0.002 for all), while higher academic level (PhD) was linked to increased student engagement (p < 0.001 for all). Although the effect sizes of sex and academic level on student mental health were modest, these findings support a need for action to establish and expand early detection and prevention programs, on-campus advisory services, and peer counseling that focus on the sex-specific and academic-study-level-specific factors, as well as mental health and career development resources for students. Academics and policy makers need to consider multipronged intervention strategies to boost confidence of students and their academic career.