Objectives: To assess depression, anxiety and stress among undergraduate nursing and midwifery students during the COVID-19 pandemic, and identify socio-demographic and educational characteristics associated with higher depression, anxiety and stress scores. Methods: Cross-sectional study during August-September 2020, using an anonymous, online, self-administered survey. E-mail invitations with a survey link were sent to 2,907 students enrolled in the Bachelor of Nursing suite of courses, offered across four campuses of a single university in Victoria, Australia. Depression, anxiety and stress were assessed using the DASS-21. Data on socio-demographic and educational characteristics, self-rated physical health and exposure to COVID-19 were also collected. DASS-21 subscale scores were compared with existing data for various pre-pandemic and COVID-19 samples. Multiple regression was used to investigate factors associated with higher scores on depression, anxiety and stress subscales. Results: The response rate was 22% (n=638). Mean scores on all DASS-21 subscales were significantly higher (p<0.001) than means from all comparative sample data. The proportions of students reporting moderate to severe symptoms of depression, anxiety and stress were 48.5%, 37.2% and 40.2% respectively. Being a woman, being younger, having completed more years of study and having poorer self-rated general health were all significantly associated (p<0.05) with higher scores on at least one DASS-21 subscale. Conclusions: Almost half of participants reported at least moderate symptoms of depression; more than a third reported at least moderate symptoms of anxiety or stress. Poor psychological wellbeing can impact students' successful completion of their studies and therefore, has implications for nursing and midwifery workforce recruitment and retention. During and after pandemics, universities should consider screening undergraduate students not only for anxiety and stress, but also for depression. Clear, low-cost referral pathways should be available, should screening indicate that further diagnosis or treatment is required.