Background: The infodemic has been co-existing with the COVID-19 pandemic with an influx of misinformation and conspiracy theories. These affect people’s psychological health and adherence to preventive measures. eHealth literacy (eHEALS) may help with alleviating the negative effects of the infodemic. As nursing students are future healthcare professionals, having adequate eHEALS skills is critically important in their clinical practice, safety, and health. This study aimed to (1) explore the eHEALS level and its associated factors, and (2) examine the associations of eHEALS with preventive behaviors, fear of COVID-19 (FCV-19S), anxiety, and depression among nursing students. Methods: We surveyed 1851 nursing students from 7 April to 31 May 2020 from eight universities across Vietnam. Data were collected, including demographic characteristics, eHEALS, adherence to preventive behaviors (handwashing, mask-wearing, physical distancing), FCV-19S, anxiety, and depression. Linear and logistic regression analyses were performed appropriately to examine associations. Results: The mean score of eHEALS was 31.4 ± 4.4. The eHEALS score was significantly higher in males (unstandardized regression coefficient, B, 0.94; 95% confidence interval, 95% CI, 0.15 to 1.73; p = 0.019), and students with a better ability to pay for medication (B, 0.79; 95% CI, 0.39 to 1.19; p < 0.001), as compared to their counterparts. Nursing students with a higher eHEALS score had a higher likelihood of adhering to hand-washing (odds ratio, OR, 1.18; 95% CI, 1.15 to 1.22; p < 0.001), mask-wearing (OR, 1.15; 95% CI, 1.12 to 1.19; p < 0.001), keeping a safe physical distance (OR, 1.20; 95% CI, 1.15 to 1.25; p < 0.001), and had a lower anxiety likelihood (OR, 0.95; 95% CI, 0.92 to 0.99; p = 0.011). Conclusions: Nursing students who were men and with better ability to pay for medication had higher eHEALS scores. Those with higher eHEALS scores had better adherence to preventive measures, and better psychological health. The development of strategies to improve eHEALS of nursing students may contribute to COVID-19 containment and improve their psychological health.