Since the outbreak of the COVID-19 pandemic by the World Health Organization in early 2020, different research has been designed to understand how mental health can be impacted by the pandemic. This study has focused on possible coping strategies developed by the university population in response to social distancing. This study aimed to identify if there was a relation between the coping strategies adopted by undergraduates during the social distancing caused by the COVID-19 pandemic and symptoms of depression, anxiety, and stress. The sample consisted of 503 undergraduates between 17 and 62 years old (M = 23.82; SD = 7.56) who answered an online form containing a questionnaire of sociodemographic data, a coping strategies scale, and the DASS-21 scale. Descriptive analyses (means and standard deviations) and Mann-Whitney U test and Kruskal-Wallis test were performed to verify the relationship and differences in the constructs investigated by gender, Higher Education Institution (HEI) (private, public, and community), age groups, social distancing, etc. In parallel, Spearman's analysis was performed to determine the correlation between symptoms of depression, anxiety, and stress, and coping strategies and a chi-square test to check the association between income and educational status at the time of data collection. The results indicate a correlation between symptoms and some coping strategies, differences in symptoms, and strategies employed according to gender, work status, and religious practice.