Objectives: Previous studies worldwide have reported that medical students are subjected to stress and related psychological morbidities. Stress could lead to psychological problems such as depression and anxiety. The objectives were to estimate the prevalence of depression, anxiety, and stress; to identify sources of stress and coping strategies; and their association with depression, anxiety, and stress scores (Depression, Anxiety and Stress scale (DASSs)). Materials and Methods: this cross-sectional survey was conducted among 2nd-year MBBS students during June–July 2017 from Jawaharlal Nehru Medical College, Sawangi (Meghe) Wardha, Maharashtra. A total of 169 students were assessed through semi-structured pro forma, Depression, Anxiety and Stress scale (DASS), coping inventory for the stressful situation, and sources of academic stress among students for data collection. Results: The overall prevalences of depression, anxiety, and stress among the students were found to be 60.94%, 73.37%, and 37.27%, respectively. The most common source of stress was found to be academic factors, with coping strategy being task-oriented. A significant association of student's satisfaction with depression and stress; gender with stress; depression with emotion and task-oriented coping strategies; emotion oriented with stress and anxiety; and all stress sources with DASS had been found. Conclusion: The students were subjected to depression, stress, and anxiety. Academic factors were found to be the important stressor. Hence, appropriate strategies need to be conducted to decrease the burden of students.