Young people and women seem to suffer more from social restrictions due to the COVID-19 pandemic than do others. Findings from pre-pandemic surveys identified students as a specific risk group for developing anxiety and depressive symptoms. Recent studies have indicated that students especially denoted a decrease in mental health during the pandemic. In a sample of n = 1938 university students (67.6% female), we investigated protective factors that are associated with mental health (defined as the absence of any mental disorder) and more specifically, the absence of major depression during the pandemic despite social restrictions. Investigated protective factors were social support, sense of coherence and situational coping strategies. The results of the multiple logistic regression analyses revealed that male gender, high sense of coherence and specific coping strategies could be identified to be associated with mental health in general and the absence of major depression. Protective coping strategies that were related to mental health in general were lower substance use, lower behavioral disengagement, higher positive reframing and lower self-blame. Protective coping strategies that were associated with the absence of major depression specifically were higher use of instrumental support, lower substance use, lower behavioral disengagement, higher positive reframing, higher emotional support, lower self-blame and lower humor. Social support was related to the absence of major depression, but not to mental health in general. Higher age in university students was associated with better mental health, but not with the absence of major depression specifically. These findings indicate that sense of coherence and situational coping strategies can buffer the adverse effect of social restrictions on mental health and thus, can serve as important resilience factors. Moreover, they highlight the political relevance of promoting specific coping strategies to foster mental health in students encompassing adverse events and social restrictions.