Majesty King Bhumibol Adulyadej (HMKB) had the longest reign in the world (from the 9th of June 1946 until the 13th of October 2016). Thai people have such tremendous love and attachment to HMKB, who was the only king most citizens in Thailand had ever known. HMKB’s passing away on October 13, 2016 was a tremendously special incident. Mental health assessment and appropriate interventions are need. This study aimed to investigate the effect of HMKB’s death on the mental health of students at Phayao University in Northern Thailand. A cross-sectional cohort study was conducted within one month of HMKB’s passing. Each participant completed a self-administered questionnaire about the effect of HMKB’s passing on his/her mental health in addition to assessments of anxiety and depression. 97.03% of 1500 students reported that the incident affected their mental health (with 27.18% reporting high effect). The effects of HMKB’s passing were statistically significantly associated with depression (p-value = 0.042) and with anxiety (p-value < 0.001). The students with a high effect were 1.63 times (95% CL: 1.00, 2.76) more likely to have depression than students who reported no effect. Appropriate psychological interventions for large numbers of affected students through limited counseling is needed.