The COVID-19 pandemic has had a major impact on university students, particulary on their mental health. However, little is yet known about how to prevent and/or reduce this impact. Prior to COVID-19, some studies have shown that online stress management programs were successful enough to improve students' mental health and stress adjustment strategies, suggesting that these interventions should be further developed during the pandemic. Our study explored the effects on mental health of an online program that targeted stress management and learning. A total of 347 university students were initially recruited to take part in a non-randomized controlled study. After dropout, our final sample consisted of 114 participants, divided into two groups: an intervention group (participants who took part in the program) and the control group (participants who did not participate in the program). The variables measured were: anxiety and depressive symptoms, academic burnout, learned helplessness, and coping strategies. Means comparisons between baseline (T0) and an assessment at 8 weeks (T1) revealed reductions in anxiety symptoms and learned helplessness in the intervention group, but not in the control group. Our pilot study reports promising effects of an online program on students' psychological state.