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Purpose: The current study aimed to evaluate the impact of coronavirus (COVID-19) pandemic on sleep hygiene, anxiety levels, perceived stress, and research output among postgraduate research students in Hong Kong. Methods: An online survey was developed and distributed to Hong Kong postgraduate research students. The sleep hygiene, anxiety levels, and perceived stress during the outbreak of COVID-19 were assessed. Questions about COVID-19’s impact on research outputs were asked. Results: A total of 108 (response rate, 72%) full-time postgraduate students (PhD, 64%; M Phil, 8%; and Masters, 28%) participated. Approximately 83% of students reported poor sleep hygiene. Similarly, nearly 76% of students reported mild to severe levels of self-perceived anxiety levels. Most of the respondents (89%) expressed a moderate level of perceived stress. Sleep hygiene scores were moderately associated with anxiety levels (r = 0.384, p < 0.01) and perceived stress scores (r = 0.423, p < 0.01). Perceived stress was strongly correlated with anxiety levels (r = 0.601, p < 0.01). A hierarchical regression analysis revealed a significant association between respondents’ ethnicity (B = −0.923, p = 0.003), past medical history (such as hypertension, diabetes, and musculoskeletal disorders) (B = 1.112, p = 0.005), or poor sleep hygiene (B = 0.259, p = 0.000) and high levels of perceived stress. Additionally, prior medical history (such as hypertension, diabetes, and musculoskeletal disorders) (B = 1.957, p = 0.001) and poor sleep hygiene (B = 0.312, p = 0.000) were found to be strongly related to anxiety levels among postgraduate research students. Conclusion: This is the first study that highlights poor sleep hygiene, moderate-to-severe levels of anxiety, and perceived stress during the COVID-19 pandemic in postgraduate research students in Hong Kong. These findings will help educators to prepare strategies to alleviate the stress and psychological problems in postgraduate students.