This study examines the relationship between depression, anxiety, self-esteem and coping mechanisms in regard to alcohol consumption among university students. Gender-based differences were also measured across these variables. A quantitative cross-sectional survey design was utilised. Participants (N = 95) were recruited via convenience and snowball sampling, as the survey was published on social media platforms and completed online. No significant relationship between alcohol consumption and levels of depression, anxiety, and self-esteem were found. However, analyses showed that binge drinkers showed higher levels in recently developed coping than non-binge drinkers. A significant relationship between weekly alcohol units consumed and recently developed coping was also found. Analyses showed that males and females had similar scoring in levels of depression, anxiety, self-esteem, and coping. However, females showed higher levels of “less-useful” coping. Similar results were also found between genders in levels of alcohol consumption. However, males consumed more alcohol units weekly than females.