Background: Studying anxiety, stress, and coping strategies during the COVID-19 pandemic is crucial to mitigate the negative effects associated with infection risk and disease consequences.Objective: This study aimed to investigate anxiety levels, stress perception, and coping strategies in relation to the presence of illness.Material and Methods: A cross-sectional online survey was conducted anonymously among 3950 university students from Poland (1822), Lithuania (232), and the Russian exclave of Kaliningrad (1896). Due to the nearly identical application of anti-epidemic measures, the respondents were treated as a unified group. The State-trait Anxiety Inventory (STAI), Perceived Stress Scale 10 (PSS-10), and mini-COPE scale questionnaires were used. Statistical analysis included the Shapiro–Wilk test to check normality, the Mann–Whitney U test for comparative analysis between groups, the Pearson χ2test for categorical data, and Spearman coefficients for correlations between variables.Results: A significant proportion of young adults in the community exhibited symptoms of anxiety and stress during the COVID-19 pandemic. Among the 1212 men and 2738 women surveyed, 348 (28.7%) and 1020 (37.3%) individuals, respectively, were diagnosed with COVID-19 according to clinical protocols. Prolonged disease duration and more severe residual symptoms correlated with higher self-reported anxiety levels.Conclusions: The level of anxiety and stress varied depending on the duration of the disease, significantly impacting the choice of coping strategies. Overall, students displayed a proactive approach to coping activities but tended to postpone important decisions. Seeking social support was a prevalent coping mechanism, although respondents who had COVID-19 showed higher levels of concern for their own emotions, a tendency to discharge emotions through alcohol or other substances (male), and a greater reliance on religion (female). The study provides data that may be useful in developing educational and health policies focused on the mental well-being of university students and potentially other social groups.