University students are experiencing a mental health crisis across the world. COVID-19 has exacerbated this situation. We have conducted a survey among university students in two universities in Lebanon to gauge mental health challenges experienced by students. We constructed a machine learning approach to predict anxiety symptoms among the sample of 329 respondents based on student survey items including demographics and self-rated health. Five algorithms including logistic regression, multi-layer perceptron (MLP) neural network, support vector machine (SVM), random forest (RF) and XGBoost were used to predict anxiety. Multi-Layer Perceptron (MLP) provided the highest performing model AUC score (AUC=80.70%) and self-rated health was found to be the top ranked feature to predict anxiety. Future work will focus on using data augmentation approaches and extending to multi-class anxiety predictions. Multidisciplinary research is crucial in this emerging field.