The impact of pandemic Covid-19 continues to affect every aspect of our daily life. University students are expectedly to be less impacted and have more psychological strength to face the crises. The current study examines perceptions and opinions surrounding the Covid-19 pandemic and the relationship between these and psychological capital, depression and anxiety. Correlation analysis was conducted. A total of 69 Malaysian local university students were recruited through convenient sampling. Psychological Capital Questionnaire (PCQ-24), General Anxiety Disorder Questionnaire (GAD-7) and Patient Health Questionnaire (PHQ-9) were applied. Result indicated there was no correlation between opinions on Covid-19 and anxiety, depression and psychological capital. However, three constructs of psychological capital, i.e. hope, optimism and resilience are negatively correlated with anxiety and depression. During the pandemic, individual with high level of psychological capital are less prone to experience the symptoms of depression and anxiety. It suggests that the role psychological capital plays in developing interventions to improve mental health of students.