The COVID-19 pandemic caused significant disruption to education systems worldwide, increasing pre-existing concerns regarding university students' mental health. Brazil was among the countries most affected by COVID-19 cases and deaths and was considered a pandemic epicenter. This study aimed to investigate Brazilian university students' mental health status and perceived burdens during the COVID-19 pandemic. From November 2021 to March 2022, a cross-sectional and anonymous online survey was conducted among students of a Brazilian federal university. Mental health status (depressive symptoms, alcohol and drug consumption) and social and emotional aspects in the pandemic context (social support, perceived stress, loneliness, resilience, and self-efficacy) were assessed with standardized measures. Students' attitudes toward the COVID-19 pandemic and vaccination and perceived burdens of the pandemic were also investigated. A total of N = 2,437 students completed the online survey. The PHQ-9 mean sum score was 12.85 (SD = 7.40), while n = 1,488 (61.10%) participants reported a sum score of 10 or more, indicating clinically relevant depressive symptoms. Further, n = 808 (33.1%) of the total sample reported suicidal thoughts. Levels of depressive symptoms, perceived stress, and loneliness were higher among undergraduate/bachelor students than doctoral students. Almost all participants (97.3%) reported being fully vaccinated against COVID-19. Multiple regression analyses showed that being single, having an income decreased during the pandemic, having a previous mental illness, having a chronic somatic condition, not finding positive aspects in the pandemic, lower self-efficacy, lower social support, lower resilience, and higher experienced loneliness were significantly associated with higher levels of depression. The study showed high levels of depressive symptoms and suicidal ideation among Federal University of Parana students. Therefore, health care providers and universities need to recognize and address mental health issues; psychosocial policies must be enhanced to mitigate the impact of the pandemic on students' mental health and wellbeing.