Background: There is evidence that university students are at higher risk of psychological problems that may affect their emotional, psychosocial and physical health. Objectives: This study has been conducted to determine the prevalence of depression, anxiety and stress among female students at Al-Jouf University, Saudi Arabia and to identify their associated factors. Methods:  The present study was descriptive cross sectional conducted among female students enrolled at Al-Jouf University. Two self-administered questionnaires have been used, the first is a structured one for identifying sociodemographic characteristics and risk factors of psychological illness among students, and the second is the Arabic version of Depression Anxiety Stress Scale (DASS21).  Statistical analysis was done using SPSS version 16. Results: The mean age of the studied students was 21.23 ± 1.50. The prevalence of depression, anxiety and stress among students was 75.3%, 84.7% and 41.8% respectively. Symptoms of moderate severity were predominant among students considered as having depression while, symptoms of extreme severity were predominant among students considered as having anxiety. Most of the students suffered from double and triple psychological illnesses. Sociodemographic, behavioral and medical factors have been significantly associated with the studied psychological illnesses such as number of sleeping hours per day, feeling loneliness, frequent drinking of coffee and presence of chronic physical and psychological illnesses. Conclusion: There is a need for intervention programs and appropriate support services targeting the university students.