This study examined how university students in Malaysia coped with the psychological impact of the COVID-19 pandemic and restrictions on movement (also known as MCO). A total of 983 students participated in a survey conducted online between April 20 and May 24, 2020. The psychological impact was measured using Zung's Self-Rating Anxiety Scale (SAS). The students were assessed on the usage of adaptive (humanitarian and seeking social support) and maladaptive coping strategies (acceptance and mental disengagement). The results showed that the students used maladaptive coping strategies more than adaptive coping strategies to deal with anxiety caused by the pandemic and the effect of restriction of movement. Seeking social support and acceptance coping strategies were significantly associated with the level of anxiety. The student's gender, age, ethnicity, level and type of study, and living arrangement were associated with coping strategies. The students' selection of coping strategies mirrors typical Asian culture, that is, submissiveness. The study proposes several practical and professional suggestions to address students' mental health issues.