The objective was to analyze the reliability, internal structure, invariance, and sex-based network of the scores of Mexican university students on the Depression, Anxiety, and Stress Scale (DASS-21). The sample consisted of 773 participants from a public university in Mexico. We analyzed factorial, convergent, discriminant, and predictive validity using Confirmatory Factor Analysis, Average Variance Extracted (AVE), the Fornell–Larcker discriminant analysis, Heterotrait–Monotrait Correlation Relationships (HTMT), and Linear Regression Analysis, respectively. The reliability of the scale was analyzed using McDonald’s Omega coefficient. Using Multigroup Confirmatory Factor Analysis, Mean Analysis, and Network Analysis, we compared the scale scores of participants grouped by gender. Evidence of reliability and validity was found for the scores of Mexican university students on the Depression, Anxiety, and Stress Scale (DASS-21). Likewise, significant differences were found between men and women in symptoms of Depression, Anxiety, and Stress, and an internal structure was identified that assumes a higher-order factor called General Psychological Distress, which explains the factors of Depression, Anxiety, and Stress. Thus, a reliable and valid instrument to evaluate and address the mental health of university students in Mexico from a preventive approach.