Objective: To determine the factors associated with quality of life and depressive symptoms in Peruvian university students during the COVID-19 pandemic. Methods: Multicentre study in 1,634 students recruited by convenience sampling. The quality of life (QoL) was assessed with the European Quality of Life-5 Dimensions at three levels (EQ-5D-3L) and depressive symptoms with the Patient Health Questionnaire-9 (PHQ-9). To assess factors associated with QoL and depressive symptoms, linear regressions and fitted regressions were used, with robust coefficients of variance information (β). Results: A 345 (21.1%) reported problems in performing daily activities, 544 (33.3%) reported pain and discomfort, 772 (47.2%) were moderately/very anxious or depressed. Furthermore, 207 (12.7%) had moderate-severe and severe depressive symptoms. Men reported better QoL than women (β: 3.2; 95% CI: 1.1, 5.4; p = 0.004) and fewer depressive symptoms (β: −0.7; 95% CI: −1.3, −0.2; p = 0.011). Ayacucho’s residents had more depressive symptoms than Ancash’s residents (β: 0.8; 95% CI: 0.1, 1.5; p = 0.022) and Piura’s residents had fewer depressive symptoms than Ancash’s residents (β: −1.195% CI: −1.8, −0.3, p = 0.005). Students who left home during quarantine reported more depressive symptoms (β: 0.7, 95% CI: 0.2, 1.2, p = 0.006). Conclusion: Problems performing daily activities, pain and discomfort, as well as mild to severe depressive symptoms were found in more than three-quarters of the sample. Authorities could consider depression care to improve quality of life in regions where high rates of infection occurred during the pandemic.