Background: Prolonged university closures and social distancing-imposed measures due to the COVID-19 pandemic obliged students to at-home learning with online lectures and educational programs promoting potential social isolation, loneliness, hopelessness, and episodes of clinical decompensation. Methods: A web-based cross-sectional survey was carried out in a university institute in Milan, Northern Italy, to assess the COVID-19 lockdown impact on the mental health of the undergraduate students. We estimated the odds ratios (OR) and the corresponding 95% confidence intervals (CI) using adjusted logistic regression models. Results: Of the 8,177 students, 12.8% reported depressive symptoms, 25.6% anxiety, 8.7% insomnia, and 10.6% reported impulsive tracts, with higher proportions among females than males. Mental health symptoms were positively associated with caring for a person at home, a poor housing quality, and a worsening in working performance. Among males compared with females, a poor housing quality showed a stronger positive association with depressive symptoms and impulsivity, and a worsening in the working performance was positively associated with depressive and anxiety symptoms. In addition, the absence of private space was positively associated with depression and anxiety, stronger among males than females. Conclusions: To our knowledge, this is the first multidisciplinary consortium study, involving public mental health, environmental health, and architectural design. Further studies are needed to confirm or refute our findings and consequent recommendations to implement well-being interventions in pandemic conditions.