Background Depression and anxiety symptoms are prevalent among university students in both developed and developing settings. Recently, grit, defined as perseverance and passion for long-term goals, has emerged as an indicator of success and well-being. However, the relationship between grit and poor mental health outcomes among university students is largely unknown. The current study investigates the relationship of grit with depression and anxiety among university students in Chiang Mai, Thailand. Methods This cross-sectional study was conducted from January to March 2018 among university students aged 18–24 years from Chiang Mai University, the first largest university in Chiang Mai Province. Depression and anxiety were assessed with the Patient Health Questionnaire (PHQ-9) and the Generalized Anxiety Disorder (GAD-7) Scales, respectively. Grit was measured using the 8-item Short Grit Scale (GRIT-S). Grit scores were grouped into three categories: low (below the 25th percentile); average (from the 25th to the 75th percentiles); and high (above the 75th percentile). The other covariates included variables such self-esteem and socio-demographic variables. Results Of the 800 participants included in the study, 405 (50.6%) were female and 395 (49.4%) were male. Respectively 21.4% and 7.8% of the participants had depression and clinical symptoms of GAD. Increasing levels of grit negatively correlated with PHQ-9 and GAD-7 scores. Participants with high level of grit scored respectively 1.69 points (P <0.001) and 1.71 points (P < 0.001) lower on the PHQ-9 scale and GAD-7 scores. Similarly, self-esteem was negatively associated with PHQ-9 and GAD-7 scores. Conclusion Our findings highlight the negative correlation of grit with poor mental health outcomes, particularly depression and anxiety. Interventions designed to improve grit could play an essential role in the prevention of adverse mental health outcomes among university students.