Despite the proximity of both countries, Danes and Germans differ in the level of trust in their government. This may play a role with respect to the disruptive impact of the COVID-19 pandemic on university students. This study investigated the association between trust in governmental regulations, trust in university regulations, risk perceptions, and academic frustration among Danish and German students. As part of the COVID-19 International Student Well-being Study, an online survey was distributed among university students in participating European and non-European universities. In Denmark, 2945 students and Germany, 8725 students responded to the questionnaire between May and July 2020. Students from both countries reported approximately the same level of academic frustration concerning their progress and quality of education. However, German students perceived a higher risk of contracting SARS-CoV-2 compared to Danish respondents. Danish students showed higher trust in their government's COVID-19 regulations than German students. Lower trust in government and university COVID-19 regulations and higher risk perception were associated with higher academic frustration. These results indicate that the level of trust in COVID-19 regulations might have an impact the overall frustration of students regarding their study conditions.