The COVID‐19 pandemic has had an important impact on the academic world. It is known that university studies can influence the mental health of students, and especially those studying health sciences. In this study, we therefore sought to analyse whether the current pandemic has affected the mental well‐being of final‐year nursing students. This was a multi‐centre study, with a descriptive, longitudinal, and prospective design. Mental well‐being was evaluated using the General Health Questionnaire. A total of 305 participants were included in the study, of whom 52.1% had experienced the COVID‐19 pandemic. Statistically significant differences were found between the two groups analysed in terms of age, access to university, average marks, mental well‐being self‐esteem, emotional exhaustion, and sense of coherence. In the case of mental well‐being, a direct association was found with both the pandemic situation (OR = 2.32, P = 0.010) and emotional exhaustion scores (OR = 1.20, P < 0.001), while an inverse association was found with sense of coherence scores (OR = 0.45, P < 0.001). This study shows that the mental health of students is a significant factor and one that must be taken into consideration when training nursing staff at university. There is a need to promote healthy habits and provide appropriate coping strategies. It is also important to train and prepare students for pandemic situations as these can have an important impact on the mental health of both the members of the public who will be treated by these future nursing professionals and the students themselves.