Background. Students’ mental health deteriorates after they enter medical school and continues to deteriorate throughout their training. Every individual has a certain number of coping resources, and once these coping resources are challenged, mental illness usually results. Objective. We aimed to determine the prevalence and severity of depression, anxiety, and stress as well as coping strategies used by medical undergraduate students enrolled in Arsi University. Methods. Institution-based, cross-sectional design was conducted on 265 sampled medical students. Participants were selected by a systematic, random-sampling technique. Data were collected by pretested, structured, and self-administrated questionnaires. Afterwards, logistic regression analysis was employed, and statistical significance was accepted at p < 0.05 . Results. In the present study, 5 questionnaires were rejected for incompleteness, resulting in a response rate of 98.1%. The mean age of the respondents was 22.03 (SD = 2.074) years. The current prevalence rates of depression, anxiety, and stress were 52.3%, 60.8%, and 40.4%, respectively. The proportion of respondents who had extremely severe symptoms of depression, anxiety, and stress was 6.2%, 16.2%, and 2.3%, respectively. Depression was specifically associated with monthly income and residency. Anxiety was significantly associated with residency and educational level. Stress was associated with monthly income, educational level, and residency. The main coping strategy adopted by the respondents was religion with a mean (±SD) of 5.94 (1.85). The coping mechanisms of denial, substance use, behavioral disengagement, venting, and self-blame were significantly associated with depression, anxiety, and stress. Conclusion. Overall prevalence rate of depression, anxiety, and stress is alarmingly high. Therefore, implementing stress reduction interventions and establishing a student counseling center are highly recommended.