University students, especially those in their first year, not only face challenges related to their personal life but also to their academic performance. Such unfavorable conditions predispose them to psychological illnesses such as depression and anxiety. The present study surveyed first-year undergraduate students to assess the prevalence of depression and anxiety and their potential underlying reasons. A cross-sectional questionnaire was conducted with 400 first-year university students aged between 18 and 23 years residing at Jahangirnagar University (in Bangladesh). After providing informed consent, the participants completed a survey examining socio-demographic variables and behavioral variables, along with the PHQ-9 scale, and the GAD-7 scale. Binary logistic regression was performed to determine the significant associations between the variables under examination. The prevalence rates of moderate to extremely severe levels of depression and anxiety were 69.5% and 61%, respectively, with no significant gender differences. The main risk factors for depression were unsatisfactory sleep quality and lack of physical exercise. The main risk factor for anxiety was excessive internet use. The prevalence of depression and anxiety levels among first-year university students was high in the present study and appears to confirm the notion that first-year university students are a vulnerable group for mental illnesses. The findings suggest the need for intervention programs, alongside adequate and appropriate supportive services for Bangladeshi university students