Abstract Background: During the coronavirus disease 2019 (COVID-19) pandemic, undergraduate students were exposed to symptoms of psychological suffering during remote classes. Therefore, it is important to investigate the factors that may be generated and be related to such outcomes. Objective: To investigate the association between fear of COVID-19, depression, anxiety, and related factors in undergraduate students during remote classes. Methods: This cross-sectional study included 218 undergraduate students (60.6% women and 39.4% men). Students answered a self-administered online questionnaire designed to gather personal information, pandemic exposure, physical activity level, fear of COVID-19 using the ‘Fear of COVID-19 Scale’, symptoms of depression using the Patient Health Questionnaire-9, and anxiety using General Anxiety Disorder-7. Results: Undergraduate students had a high prevalence of depression and anxiety (83.0% and 76.1%, respectively) but a low prevalence of fear of COVID-19 (28.9%) during remote classes. Multivariate analysis revealed that women who reported health status as neither good nor bad and who had lost a family member from COVID-19 had the highest levels of fear. For depression and anxiety, the main related factors found were female gender, bad health status, insufficiently active, and complete adherence to the restriction measures. Conclusion: These findings may be used to develop actions to manage symptoms of anxiety and depression among students, with interventions through physical activity programmes to improve mental health.