One of the main challenges in higher education is promoting students' autonomous and self-regulated learning, which involves managing their own emotions and learning processes in different contexts and circumstances. Considering that online learning during the COVID-19 pandemic may be an opportunity for university students to take greater responsibility for their learning, it is essential to explore the strategies they have developed in the face of emotional and learning challenges during the health crisis. This study aimed at analyzing the relationships between students' emotions, coping strategies, and self-regulated learning in online learning during COVID-19 home confinement. The participants were 1,290 Mexican students from different universities throughout the country, who answered an online self-report questionnaire from standardized instruments adapted to the pandemic. Data were analyzed with descriptive and inferential analyses, including a structural equation model (SEM). Findings indicate that, although anxiety, boredom, and frustration were present among participants during confinement, the primary emotions were gratitude, joy, and hope. Second, the main coping strategies used by students participating were focused on facing and reassessing the situation. Furthermore, tranquility, hope, gratitude, and joy were positively related to self-regulated learning, although, loneliness and disinterest were negatively related. Finally, it was found that an approach to coping strategies mediated the relationship between emotions and self-regulated learning. Thus, teachers should help students understand the relevance of active coping strategies and use student-centered learning models that promote autonomous and self-regulated learning, considering each learner's needs, during and after confinement.