Background: Many studies have highlighted the negative mental health consequences of lockdowns. However, to date, we do not know how these consequences change over time. The first objective of the present study was to track changes in adjustment strategies and clinical issues among French university students at different times of the pandemic. The second objective was to investigate the psychological and situational factors contributing to students’ anxiety and depressive symptoms. Method: This cohort study was conducted between 23 April and 11 December 2020. Measurements were performed four times: during France’s first national lockdown, during the period after lockdown, when universities were open, and finally during the second national lockdown. A total of 1294 university students were initially included, and 91 students completed the four measurement points over a 7-month period. Coping strategies (with the Brief-COPE), health concerns (with two questions), anxiety and depressive symptoms (with the HADS) were measured. Results: Results showed an evolution over time of anxiety (χ2 = 21.59 ***) and depressive (χ2 = 29.73 ***) symptoms. Depressive symptoms are significantly higher during lockdown periods compared to unlockdown periods. Anxiety symptoms are likewise particularly high during the two lockdowns, but also when the universities reopen. At different times, anxiety and depressive symptoms were positively associated with maladaptive strategies, such as the self-blame (rho between 0.33 and 0.51) and negatively with adaptive strategies, such as the positive reframing (rho between −0.23 and −0.44). Conclusions: The trajectory of anxiety, which is elevated even in the absence of lockdown, raises concerns about the long-term effects of the pandemic on these symptoms.