High rates of psychological distress including anxiety and depression are common in the doctoral community and the learning environment has a role to play. With the coronavirus disease (Covid-19) pandemic taking a toll on mental health it is necessary to explore the risk and protective factors for this population. Using data from the Covid-19: Global Study of Social Trust and Mental Health, the present study examined the relationship between Covid-19-related stressful educational experiences and doctoral students’ mental health problems. Moreover, it assessed the role of attentional ability and coping skills in promoting good mental health. One hundred and fifty-five doctoral students completed an online survey where micro-, meso- and macro-level educational stressors were measured. The Patient Health Questionnaire and the Generalized Anxiety Disorder Questionnaire were used to measure depression and anxiety symptoms, respectively. We also measured coping skills using a 13-item scale and attentional ability using a questionnaire. The results of multiple linear regression analyses showed that specific stressful educational experiences were unrelated but cumulative stressful educational experiences were related to increased depression symptoms (but not anxiety symptoms) in fully adjusted models. Additionally, higher coping skills and attentional ability were related to fewer depression and anxiety symptoms. Finally, no associations between demographics and other covariates and mental health problems were found. The experience of multiple educational stressful events in their learning environment due to Covid-19 is a key risk factor for increased mental illness in the doctoral community. This could be explained by the uncertainty that the Covid-19 pandemic has caused to the students.