Background: the mental health of students was particularly affected by the COVID-19 pandemic. The present study therefore examined the relationships between anxiety and depressive symptoms, eating-related problems, coping, fear of COVID-19, and intolerance of uncertainty. Methods: 2139 French students of 54 universities were recruited in the different regions of France during a French lockdown (between 21 April and 3 May 2021). Six variables were measured: fear of COVID-19, intolerance of uncertainty, coping, anxiety and depressive symptoms, and eating-related problems. To explore the directions of the relationships between our variables of interest, we calculated a directed acyclic graph. Results: our data highlighted the central roles of intolerance of uncertainty in students’ anxiety and depressive symptoms, and the direct role of prospective intolerance of uncertainty on eating-related problems. Conclusions: these findings indicate that intolerance of uncertainty should be targeted by interventions designed to help students with high levels of anxiety, depressive symptoms, and/or eating-related problems.