This study examined the similarities and differences in sense of belonging, mental health, and well-being of higher education students from three countries. A cross-sectional design using a quantitative online survey was used to collect demographics, and perceptions of sense of belonging, mental health, and well-being. Participants were recruited from three universities in Canada, Germany, and Sweden. All students from the three countries reported only moderate emotional stability; neutral satisfaction with life; moderately strong levels of sense of belonging; and only moderate control of self and events, happiness, mental balance, self-esteem, social involvement, and sociability. Students in Sweden compared to Canada and Germany reported significantly stronger sense of belonging. Additionally, students in Sweden compared to students in Canada reported significantly stronger emotional stability and higher self-esteem. Higher levels of sense of belonging were strongly related to positive mental health and well-being. No significant differences as a function of sex, age, year-of-study, and program of study were found within and across countries. The findings shed light on the mental health status and well-being of students in two European countries where little research on student mental health has been conducted. Additionally, comparisons are made between student mental health in Canada and these European countries. The results validate the importance of a sense of belonging as it relates to the mental health and well-being of all higher education students. Findings can inform the design of promotion and prevention programs aimed at improving and maintaining mental health and well-being outcomes.