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Medical students are vulnerable to depression and anxiety due to the nature of their academic life. This study aimed to determine the prevalence of depressive and anxiety symptoms among medical students and the association between religious coping, religiosity and socio-demographic factors with anxiety and depressive symptoms. A cross sectional design was used for this study. Scales used were the Malay version of the Duke Religious Index (DUREL-M), the Malay version of the Brief Religious Coping Scale (Brief RCOPE) and the Malay version Hospital and Anxiety Depression Scale (HADS-M). 622 students participated in this study. They scored moderately on the organized (mean: 3.51) and non-organized religious (mean: 3.85) subscales of the DUREL, but had high intrinsic religiosity (mean: 12.18). The prevalence of anxiety and depressive symptoms were 4.7% and 17.4% respectively, which is lower than local as well as international data. Islam, negative religious coping and the presence of depressive symptoms were significantly associated with anxiety symptoms. Only the presence of anxiety symptoms was significantly associated with depressive symptoms. Negative religious coping, rather than positive religious coping, has significant association with depressive and anxiety symptoms. Redirecting focus towards negative religious coping is imperative to boost mental health outcomes among medical students.