The global depression burden has remained a challenge throughout the pre- and post-pandemic era. The pandemic effect has led to the spiraling of mental disorders among young people who will be the next generation of leaders. This study aims to identify university students’ sociodemographic, psychosocial and academic backgrounds and performance associated with depression symptoms for the development of primary and secondary preventive strategies for mental health. A cross-sectional study was conducted using an online questionnaire distributed to 19 institutions in Malaysia offering a Bachelor of Pharmacy degree program. The self-rated Depression Anxiety Stress Scale (DASS-42) was used to assess depression symptoms. Pearson’s chi-square test and Fisher’s exact test were used to assess the investigated variables with depression symptoms. Independent T-test and one-way ANOVA were used to compare means of depression score across variables. Binary logistic regression was employed to examine the relationship between the investigated variables and depression symptoms. A total of 610 pharmacy students participated, of which 47% (n = 289/610) were having depression symptoms. Students who smoke nicotine and those who have separated parents, family history of mental illness, and poor academic performance were associated with depression symptoms (p < 0.05). Differences in geographical areas, race and religion also showed significant associations with depression symptoms. Parental marital status, poor academic performance, history of mental illness and comorbidities were statistically predicting depression symptoms (p < 0.05). Primary preventive strategies allowing students to harness healthy coping skills for stress, nicotine-free campaigns and a holistic curriculum are warranted. Secondary measures on mindfulness and compassion skills activities to benefit students who experienced early life crises are highly recommended. Enforcing these targeted strategies in collaboration with health and social sectors should be the primary agenda of universities to ensure their uptake.