Social Sustainability among university students, especially how students deal with psychological distress, is important during the COVID-19 pandemic. This study examines the relationship between perceived social support and coping strategies and the psychological distress of depression, anxiety, and stress among the students of the Public University in Sabah during the COVID-19 pandemic, and to determine the level of depression, anxiety, and stress among the students. The inclusion criteria were: (1) currently an active status university student; (2) absent of visual disability; (3) absent of network coverage issues; and (4) absent of clinical symptoms of psychological distress. The total respondents were 385 students from this university who ranged from 20 to 23 years of age and were collected from all the faculties available at the main campus of Public University in Kota Kinabalu, Sabah, Malaysia. The research method applied was a survey method, collecting the data through an online questionnaire platform. Three instruments were used: (1) Depression, Anxiety and Stress Scale (DASS-21); (2) Brief COPE Scale (Brief COPE); and (3) Multidimensional Scale of Perceived Social Support (MSPSS). The result of the descriptive analysis indicated that the levels of both depression and anxiety in students of the Public University in Sabah were mild. In contrast, the stress level was moderate during the pandemic. The results of the inferential analysis indicated the relationship between perceived social support and psychological distress, which focused on depression, anxiety and stress among the university students, to overall having a significantly negative correlation between its subscales (r = between −0.148 and −0.359; p < 0.05). Based on the findings, it is clear how vulnerable university students are to psychological distress during the COVID-19 pandemic, but it can be overcome with social support and suitable types of coping strategy. Besides, a negative link between depression and problem-focused coping was ...