This study assessed university students’ knowledge and precaution practices of Novel Coronavirus (COVID-19) in South Korea, China, and Japan, and investigated their depressive states during the pandemic. This cross-sectional survey collected data from 821 respondents, using an anonymous online questionnaire designed by the Yonsei Global Health Center, from 23 March to 20 April 2020, which included socio-demographic questions, knowledge and perceptions of COVID-19, preventative practices, and the Patient Health Questionnaire-9 (PHQ-9) scale to assess mental health. High proportions of respondents showed good knowledge of the transmission pathways and information related to COVID-19. Contact history as well as concerns about family members and the disease showed statistically significant distinctions by nationality and gender. On the whole, all participants reported good levels of preventative practices. The Chinese group reported the highest preventative practice scores; and females scored higher than males. Moreover, the Japanese group showed the most severe depressive states; overall, females experienced more severe depression than males. Thus, authorities should especially emphasize the importance of COVID-19 precautions to males. Educational departments and health authorities should observe the mental health of university adults during the pandemic and plan interventions to improve it.