Introduction: COVID-19 restrictions introduced several changes in university academic and social experience. Self-isolation and online teaching have amplified students’ mental health vulnerability. Thus, we aimed to explore feelings and perspectives about the impact of the pandemic on mental health, comparing students from Italy and the UK. Methods: Data were collected from the qualitative portion of “the CAMPUS study”, longitudinally assessing mental health of students at the University of Milano-Bicocca (Italy) and the University of Surrey (UK). We conducted in-depth interviews and thematically analysed the transcripts. Results: The explanatory model was developed from four themes identified across 33 interviews: anxiety exacerbated by COVID-19; putative mechanisms leading to poor mental health; the most vulnerable subgroups; and coping strategies. Generalised and social anxiety resulted from COVID-19 restrictions by being associated with loneliness, excessive time online, unhealthy management of time and space and poor communication with the university. Freshers, international students, and people on the extremes of the introversion/extroversion spectrum, were identified as vulnerable, while effective coping strategies included taking advantage of free time, connection with family and mental health support. The impact of COVID-19 was mostly related to academic issues by students from Italy, whereas to the drastic loss of social connectedness by the UK sample. Conclusions: Mental health support for students has an essential role, and measures that encourage communication and social connectedness are likely to be beneficial.