Determining what factors influence the psychological well-being of undergraduate university students may provide valuable information to inform the development of intervention programs and targeted learning activities. The objective of this study was to investigate the correlation between psychological well-being in university students and their self-reported learning styles and methodologies, social skills, emotional intelligence, anxiety, empathy and self-concept. The final sample consisted of 149 Spanish university students, with an average age of 21.59 years (SD = 4.64). Psychological well-being dimensions, along with learning style and methodology preferences, social skills, level of social responsibility, emotional intelligence, state and trait anxiety, empathy and levels of self-concept were measured using a series of validated self-report scales. The results indicate that the total variance explained by the university students’ psychological well-being factors were as follows: i) self-acceptance dimension (R2 = 0.586, F(6,99) = 23.335, p < 0.001); ii) positive relationships dimension (R2 = 0.520, F(6,99) = 17.874, p < 0.001); iii) autonomy dimension (R2 = 0.313, F(4,101) = 11.525, p < 0.001); iv) environmental mastery dimension (R2 = 0.489, F(4,101) = 24.139, p < 0.001); v) personal growth dimension (R2 = 0.354, F(4,101) = 13.838, p < 0.001); and vi) purpose-in-life dimension (R2 = 0.439, F(4,101) = 19.786, p < 0.001). The study findings may be used to inform new educational policies and interventions aimed at improving the psychological well-being of university students in the international context.