Research has suggested that university students are at risk from certain unhealthy habits, such as poor diet or alcohol abuse. At the same time, anxiety levels appear to be higher among university students, which may lead to high levels of emotional eating. The aim of this study was to analyze the degree of adherence to the Mediterranean diet (AMD), emotional eating, alcohol intake, and anxiety among Spanish university students, and the interrelationship of these variables. A total of 252 university students filled out the Mediterranean Diet Quality Index (KIDMED) questionnaire for Mediterranean diet adherence, an Alcohol Use Disorders Identification Test, a State-Trait Anxiety Inventory and the Emotional Eater Questionnaire. We analyzed descriptive data, a t-test and analysis of variance (ANOVA) for differences, a Pearson correlation, and multiple regression tests. Results showed low levels of AMD among university students (15.5%) and considerable levels of emotional eating (29%) and anxiety (23.6%). However, levels of alcohol dependence were low (2.4%). State-anxiety was a predictor of the emotional eater score and its subscales, and sex also was predictive of subscale guilt and the total score. However, AMD was predicted only by trait-anxiety. These models accounted for between 1.9% and 19%. The results suggest the need for the implementation of educational programs to promote healthy habits among university students at risk.