This study examined the relationship between online class environments and the economic burden and mental health among university students at the onset of the COVID-19 pandemic. The survey participants were 909 undergraduate students, and graduate students in Hokkaido who responded to the first wave of the two-wave panel survey. The survey was conducted from July to September 2020. This study used K6 and GAD-7 as indicators of mental health. The results showed that students with both a high economic burden and a high burden of on-demand online classes after the onset of the COVID-19 pandemic had a high probability of exceeding the cutoff points (indicating severe depression and anxiety) for K6 (above 13 points) and GAD-7 (above 10 points). The number of live online classes predicted lower depression. The discussion focused on the characteristics of online classes and discussed why they were associated with mental health and how to reduce the sense of burden in classes. In addition, we pointed out the importance of economic support for university students, since economic burdens were related to mental health.