This study examines the association of depressive and anxiety symptoms with diet quality among university students while controlling for different demographic and other health and lifestyle factors. This cross-sectional study was carried out between April 2021 and June 2021 among a total of 440 (unweighted) university students. Diet quality was assessed using a 10-item mini-dietary assessment index tool. The depressive and anxiety symptoms of participants were measured using the validated Patient Health Questionnaire-9 (PHQ-9), and the Generalized Anxiety Disorder (GAD-7) scale, respectively. Multivariable logistic regression and mediation analyses were performed. In this study, 61.1% (95% CI: 56.6% to 65.7%) of university students’ diet quality was good during the COVID-19 pandemic. Being a post-graduate student, an urban resident, having no depressive (AOR = 2.15, 95% CI: 1.20 to 3.84) and anxiety symptoms (AOR = 1.96, 95% CI: 1.07 to 3.59), no changes or improvement in appetite, and no changes in sleep duration were significantly associated with good diet quality among our study participants. Depressive and anxiety symptoms during COVID-19 had a significant effect on the diet quality of university students. Future public health policies need to be focused on improving the mental health and well-being of students particularly during pandemic situations to enhance their diet quality.