Musculoskeletal disorders (MSDs) are injuries or pain that affect the human locomotor system and may affect everyone at least once in a lifetime. The accompanying chronicity, pain and disability are usually associated with mental health impairment. This study was carried out to examine the prevalence of MSDs and its relationship with psychological distress among undergraduate students from several health sciences programs. A set of self-administered questionnaires consisting of the Standardised Nordic Musculoskeletal Questionnaire and the Depression, Anxiety and Stress Scale-21 (DASS-21) was given out to 330 undergraduate students of a public university in Malaysia. Multiple linear regression analysis was used to test the hypothesis on the relationship between MSDs and psychological distress (depression, stress, and anxiety). The prevalence of MSDs during the past 12 months was found to be high (86.6%), with lower back pain being the most common symptom (63.3%), followed by neck pain (53.6%) and shoulder pain (50.6%). Half of the students (57.0%) reported depression, 37.3% reported anxiety, and 28.2% reported stress. The occurrence of MSDs in the regions of the shoulder, and hips or thighs or buttock regions have significant positive relationship with stress and anxiety scores of the students (p < 0.05). Meanwhile, the occurrence of MSDs in the region of the wrists or hands, knees, and shoulders have significant positive relationship with the depression score (p < 0.05). In conclusion, MSDs in the shoulder, hips or thighs or buttock regions wrists or hands, and knees regions were significantly associated with psychological distress. Further intervention programs should be implemented to reduce psychological distress associated with MSDs among the students.