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Mental illness is an important public health concern in veterinary students. Recent literature has demonstrated a negative effect of the COVID-19 pandemic on veterinary students’ mental health. Little literature to date has evaluated the mental health of veterinary students affected by the COVID-19 pandemic after most pandemic measures have been lifted. The objective of this study was to describe physical activity, diet, and mental health in veterinary students after pandemic measures were lifted. A secondary objective was to examine the association between depression symptoms and exposure factors in this cohort of veterinary students. In a cross-sectional study, veterinary students (n = 487) at a public university received an online survey with questions regarding their physical activity, diet, stress, and self-rated symptoms across 11 mental health domains. Logistic regression was used to quantify the association between exposure factors and depression symptoms. One-hundred and twelve students completed the survey. Sixty-three (56%) respondents met the criteria for concern within the mental health domain of depression, 75 (67%) for anxiety, and 16 (14%) for suicidal ideation. Fourth year students had the lowest weekly vigorous physical activity (median 0.5 hours). The odds of self-reported depression symptoms were 8 times lower in students engaged in high levels of vigorous exercise compared to students engaged in low levels, after controlling for number of years in the program (p = 0.02). Mental health concerns were high in this group of veterinary students.