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Background: The COVID-19 pandemic significantly impacted mental health and substance use patterns, particularly among young adults. Objective: This study aimed to assess changes in anxiety, depression, self-esteem, and substance use among university students in Mexico before, during, and after the pandemic. Methods: Using a repeated cross-sectional design, this study was conducted with university students in Mexico across three periods: pre-pandemic (2017 and 2019); during the pandemic (2021); and post-pandemic (2023). A total of 2167 students were interviewed during one of the three periods. Standardized scales measured anxiety, depression, self-esteem, Erotic Response and Sexual Orientation Scale (EROS), and substance use. Results: showed a marked and significant increase in the proportion of students with anxiety (40.0%, 71.7%, and 79.6%) and depression (14.4%, 61.9%, and 62.6%) during the pre-pandemic, pandemic, and post-pandemic periods, respectively. Self-esteem significantly decreased during and after the pandemic, compared to pre-pandemic, particularly among females. The proportion of students categorized as moderate/high-risk for their substance use changed over time, showing a reduction in alcohol use (from 29.9% to 20.2%) and tobacco use (from 26.0% to 18.2%) but an increase in sedative use (from 7.1% to 11.7%), before vs after the pandemic, respectively. Multivariate analysis revealed that anxiety, low self-esteem, and increased sedative use were consistently linked to a heightened risk of depression during and after the pandemic. Notably, anxiety and depression levels remained in a proportion significantly elevated even in the post-pandemic period. Conclusions: These findings underscore the enduring impact of the COVID-19 pandemic on the mental health of university students, highlighting the urgent need for targeted interventions, early detection strategies, and customized educational programs to effectively support students’ mental well-being in the ongoing post-pandemic era.