Background: Our research aimed to assess the experiences of ethnic discrimination among students in Poland (Polish and international) during the COVID-19 pandemic. We also tested the prevalence of anxiety symptoms and their relationship with perceived COVID-19 risk, the severity of discrimination, and social support. Methods: The data from Polish (n = 481) and international university students (n = 105) were collected online (November–January 2020). Participants completed measures of ethnic discrimination (GEDS), anxiety scale (GAD-7), COVID-19 risk perception index, and perceived social support scale (MSPSS) questionnaires. Results: The results showed that international students reported being much more discriminated than Polish students during the first year of the COVID-19 pandemic. Contrary to our expectation, a higher risk of anxiety disorders (GAD) was observed in 42% of Polish students compared to 31% of international students. The predictors of higher anxiety symptoms among both groups were the perceived risk of COVID-19 and the greater severity of ethnic discrimination. In both groups, the perceived social support had a protective role in anxiety symptomatology. Conclusions: The high prevalence of discrimination, especially among international students, simultaneously with high symptoms of anxiety, requires vigorous action involving preventive measures and psychological support.