The COVID-19 pandemic and the lockdown measures have taken a toll on every level of the society, worldwide. This study examines their psychological impact on university students in Asia. A cross-sectional online survey was conducted between April and May 2020 in Malaysia, Saudi Arabia, Pakistan, Bangladesh, China, India and Indonesia. The Zung's self-rating anxiety scale (SAS) and questions on adaptive and maladaptive coping strategies were used in this study. A total of 3,679 students from the seven countries participated in this study. Overall, 21.9% and 13.7% of the students in this study experienced mild to moderate and severe to extreme levels of anxiety. More than 20% of the students from China and Bangladesh reported severe to extreme level of anxiety compared to below 10% of the students from Indonesia, Malaysia and India. Among the female students, 15.9% experienced severe to extreme level of anxiety compared to 10.6% among the males. Females from Bangladesh, China, Malaysia, Pakistan and Saudi Arabia experienced significantly higher levels of anxiety compared to their male counterparts. Acceptance was the most used and Seeking Social Support was the least used coping strategies among the students. There were significant differences in the usage of the four strategies by countries.