Objectives: This study assessed the reliability and validity of the DASS-21 self-reported measure in the context of COVID-19 on anxiety, stress, and depression. Through this Study, the psychological effect of COVID-19 on anxiety, tension, and depression amongst samples of students enrolled in 201 Malaysian private universities was assessed. Methods: The data were collected from university students through an online survey because of Malaysian Government Movement Control Order (MCO) restrictions. Two separate intervals were used for data collection (i.e., May and September 2020), as this period was associated with the pandemic. For scale validation, convergent, discriminant, and nomological validity criteria were used. Results: The outcome of a CFA model for DASS-21 yielded factor loading that is very significant. Therefore, the measure of the root means square error approximation (RMSEA) and the comparative fit index (CFI) are acceptable values that were produced, demonstrating a good fit for the data. Conclusions: This study was conducted in the Malaysian context to validate depression, anxiety, and stress among university students using the DASS-21 scale. Our findings support the reliability of using DASS-21 in the Malaysian cultural context. Lastly, we testified to the presence of depression, anxiety, and stress among university students through descriptive statistics and provided empirical evidence in this regard. Our results suggested that there was a significant presence of DASS among university students.