Introduction: During the coronavirus disease 2019 (COVID-19) pandemic, university students experienced unusual environmental stresses, and the number of university students with depressive symptoms increased. The pandemic had a profoundly negative impact on the mental health of first-year students because they were not prepared to face academic and social stresses. The purpose of this study was to investigate the effect of the COVID-19 pandemic on depressive symptoms, eating behaviors, and stress-coping ability among first-year university students. Methods: A total of 8,424 first-year students, 2,043 males and 1,636 females who entered university in Japan in 2021–2022 (during the pandemic) and 2,912 males and 1,833 females who entered university in Japan in 2018–2019 (before the pandemic), participated. We investigated the differences in depressive symptoms (using Beck Depression Inventory II [BDI-II]), eating behaviors (using Eating Attitudes Test-26 [EAT-26] and Bulimic Inventory Test, Edinburgh [BITE]), and stress coping (using Coping Inventory for Stressful Situations [CISS], which has three subscales) between first-year students before and during the pandemic. We divided the students into three categories (clinical, subthreshold, and nonsymptomatic) according to depressive symptoms and eating behaviors based on BDI-ll and EAT-26 scores and compared the frequencies of the three categories at two time points. Results: First-year students during the pandemic showed a higher percentage of depressive symptoms, including clinical and subthreshold levels, than first-year students before the pandemic but did not show disordered eating behaviors. Additionally, the CISS task-oriented score was significantly lower for students with depressive symptoms, including clinical and subthreshold levels, during the pandemic than before the pandemic in females. Conclusions: This study suggests that it may be important to provide first-year university students with more information about depressive symptom awareness, including clinical and subthreshold levels, and to provide appropriate ways for stress coping from many angles and early support in pandemic conditions.