Food insecurity and psychological distress in university students are public health concerns. However, little is known about their association. We conducted a cross-sectional study of undergraduate students at a Canadian university in October 2017 to measure the prevalence of food insecurity and its association with psychological distress in university students. Our web-based survey included the Household Food Security Survey Module to measure food insecurity, and the Depression, Anxiety and Stress Scale-21 to measure psychological distress. We used multivariable logistic regression to measure the association between food insecurity and psychological distress. Twenty-seven percent (95% CI: 24.1–29.9) of participants (n = 882) reported food insecurity and 16.5% (95% CI: 14.1–19.1) reported psychological distress. Marginal/moderate (OR = 1.62, 95% CI: 1.01–2.61) and severe (OR = 3.16, 95% CI: 1.37–5.30) food insecurity was significantly associated with psychological distress in some students. Further investigations are needed to determine whether food insecurity is a risk factor for psychological distress in this population.