Although mental health problems among Hong Kong university students are serious, there is a lack of studies examining the psychometric properties of related assessment scales and correlates. This study attempted to validate the Depression Anxiety Stress Scales (DASS) in Hong Kong university students and examine the demographic (gender), time (cohort), and well-being correlates (positive youth development attributes and life satisfaction) of psychological morbidity. Confirmatory factor analysis (CFA) was used to examine the factor structure of the DASS (n = 6704). Gender and cohort invariance were further established using a multigroup CFA. The three-factor model of the DASS showed a superior fit and factorial invariance across gender and five different cohorts. Regarding gender and cohort correlates of psychological morbidity, males exhibited more depression, anxiety, and stress symptoms than their female counterparts. The intensity of psychological distress also escalated after the Umbrella Movement in 2014. Furthermore, well-being measures (positive youth development and life satisfaction) were negatively associated with depression, anxiety, and stress. In short, the Chinese DASS demonstrated good psychometric properties. This study also showed that gender, cohort (occurrence of political events), and well-being were associated with psychological morbidity indexed by the DASS measures.