The growing prevalence of depression and suicidal ideation among college students further exacerbated by the Coronavirus pandemic is alarming, highlighting the need for universal mental illness screening technology. With traditional screening questionnaires too burdensome to achieve universal screening in this population, data collected through mobile applications has the potential to rapidly identify at-risk students. While prior research has mostly focused on collecting passive smartphone modalities from students, smartphone sensors are also capable of capturing active modalities. The general public has demonstrated more willingness to share active than passive modalities through an app, yet no such dataset of active mobile modalities for mental illness screening exists for students. Knowing which active modalities hold strong screening capabilities for student populations is critical for developing targeted mental illness screening technology. Thus, we deployed a mobile application to over 300 students during the COVID-19 pandemic to collect the Student Suicidal Ideation and Depression Detection (StudentSADD) dataset. We report on a rich variety of machine learning models including cutting-edge multimodal pretrained deep learning classifiers on active text and voice replies to screen for depression and suicidal ideation. This unique StudentSADD dataset is a valuable resource for the community for developing mobile mental illness screening tools.