The advent of the coronavirus pandemic has impacted the psychological well-being of many people. This study examined the relationship between fear of COVID-19, psychological distress (depression, anxiety, and stress) and coping strategies adopted by undergraduate students in Ghana. A sample of 209 students were recruited to complete online surveys on fear of COVID-19, psychological distress and coping strategies between June and July 2020. Students scored between normal to mild levels of psychological distress but above average scores on fear of coronavirus (M = 19.45, SD = 6.04). Fear of COVID-19 was positively related to psychological distress. Only maladaptive coping was found to be significantly and positively associated with fear of COVID-19. However post-hoc analysis of the components of coping strategies revealed that denial (β = .17, p = .028), venting (β = .18, p = .036) and humour (β = −.18, p = .023; an adaptive coping strategy) were associated with fear of COVID-19. Finally, both adaptive coping and maladaptive coping strategies had a mediating effect on fear of COVID-19 and psychological distress. These findings emphasize the need to design and optimize institutional interventions that will assess psychological distress and fear of COVID-19 levels during this pandemic and provide psychotherapeutic support for students as they return to school.