Health behaviors of higher education students can be negatively influenced by stressful events. The global COVID-19 pandemic presents a unique opportunity to characterize and compare health behaviors across multiple countries and to examine how these behaviors are shaped by the pandemic experience. Undergraduate and graduate students enrolled in universities in China, Ireland, Malaysia, South Korea, Taiwan, the Netherlands and the United States (USA) were recruited into this cross-sectional study. Eligible students filled out an online survey comprised of validated tools for assessing sleep quality and duration, dietary risk, alcohol misuse and physical activity between late April and the end of May 2020. Health behaviors were fairly consistent across countries, and all countries reported poor sleep quality. However, during the survey period, the COVID-19 pandemic influenced the health behaviors of students in European countries and the USA more negatively than Asian countries, which could be attributed to the differences in pandemic time course and caseloads. Students who experienced a decline in sleep quality during the COVID-19 pandemic had higher dietary risk scores than students who did not experience a change in sleep quality (p = 0.001). Improved sleep quality was associated with less sitting time (p = 0.010). Addressing sleep issues among higher education students is a pressing concern, especially during stressful events. These results support the importance of making education and behavior-based sleep programming available for higher education students in order to benefit students’ overall health.