Public health concerns about mental health problems have recently received attention, particularly since the COVID-19 pandemic. Emotional intelligence (EI) is a significant factor linked to mental health status, including depression, anxiety, and stress (DAS), with sex playing a significant role in both DAS and EI status. This study aimed to describe DAS and EI status and assess sex differences in the associations between EI and DAS among undergraduate students. A cross-sectional study was conducted across three educational institutions in Dong Thap province, southern Vietnam, using the validated Schutte Self-Report Emotional Intelligence Test (SSEIT) and the 21-item Depression, Anxiety, and Stress Scale (DASS-21). Spearman correlation analysis was used to identify correlations between DAS and EI, and the sex differences in the associations between DAS and the four SSEIT constructs - emotion perception (EP), utilizing emotion (UE), managing self-relevant emotion (MSE), and managing others' emotion (MOE) - were examined using linear regression models. Among the 674 participants, 51.6% experienced mental health problems (64.1% for females, 35.9% for males), 47.0% experienced anxiety, 32.5% experienced depression, and 27.4% experienced stress. The average EI score was 119.3 ± 18.9 (120.0 ± 19.1 for females, 118.0 ± 18.5 for males), with 58.9% of participants having normal EI, while 29.2% and 11.9% had low and high EI, respectively. Negative correlations were observed between EI scores and depression (R=-0.16, p<0.001) and anxiety (R=-0.09, p=0.020), especially among females. Findings indicated that MSE showed significant associations with DAS, especially in females (all β<-0.318, all p<0.001). Our study highlights the importance of considering sex in mental health prevention programs targeting EI skills to manage students' self-relevant emotions better.