The COVID-19 pandemic and the restrictions imposed that changed the teaching and learning activities may add a psychological impact to the existing academic stress faced by university students. Past studies have associated low levels of psychological disorder with high religiosity and positive religious coping (RC). This study aimed to determine the level of psychological disorder among university students in Malaysia during the COVID-19 pandemic and measure their association with religiosity and religious coping (RC). An online cross-sectional survey was conducted between March and June 2020 involving 450 students. The survey instruments consisted of sociodemographic proforma, Duke University Religious Index (DUREL) for religiosity, Brief RCOPE Scale for RC and General Health Questionnaire-12 (GHQ-12) for psychological disorder; 36% of the participants experienced psychological disorder. Younger age, being a Muslim, living in the Green/Yellow zone and higher negative RC were significantly associated with psychological disorder. Higher positive RC was found to be protective against psychological disorder. However, the level of religiosity had no significant association with psychological disorder. In conclusion, the level of psychological disorder among university students has been high during the pandemic. Measures and interventions focusing on positive RC and reducing negative RC are recommended to improve the psychological well-being.