AbstractUsing the Conservation of Resources (COR) theory, we aimed to determine whether university students' loss and gain in resources during the pandemic mediated the relationships between COVID‐19 exposure/concern and depression and anxiety. In 2021, 7013 Israeli university students completed online questionnaires. We assessed the data using structural equation modeling. We found that resource loss was directly related to concern (β = 0.32, p < 0.001). Depression and anxiety were both directly related to loss of resources (depression: β = 0.75, p < 0.001; anxiety: β = 0.69, p < 0.001) and concern (depression: β = 0.06, p < 0.001; anxiety: β = 0.12, p < 0.001). Resource loss had an indirect effect on the relationships between concern and depression (β = 0.24, p < 0.001) and concern and anxiety (β = 0.22, p < 0.001). COR theory may help explain the mechanisms behind university students' mental health during the pandemic and provides a framework to better understand preparedness for future pandemics, epidemics, and major disasters. Governments and universities should help prevent the loss of resources during future emergencies.