Background: The academic and emotional challenges faced by medical students can affect critical thinking and may also contribute to the development of increased generalized anxiety. Similarly, critical thinking and generalized anxiety can impact study satisfaction through the mediating mechanism of academic self-efficacy. Objective: The aim of this study was to assess the mediating role of academic self-efficacy between critical thinking and generalized anxiety in study satisfaction among medical students. Methods: A cross-sectional and explanatory study was conducted involving 259 Peruvian medical students aged between 18 and 35 (M = 20.29, SD = 2.84). The evaluation was based on self-reported questionnaires covering critical thinking, generalized anxiety, academic self-efficacy, and study satisfaction. Furthermore, a structural equation modeling (SEM) and mediation approach was employed to examine the relationships between variables. Results: The results showed an adequate fit of the model [χ2 (87) = 155, p < 0.001, CFI = 0.93, TLI = 0.92, RMSEA = 0.05 (CI: 0.04–0.07), SRMR = 0.07], demonstrating the impact of critical thinking and generalized anxiety. It was confirmed that academic self-efficacy has a positive effect on study satisfaction. Moreover, the mediating role of academic self-efficacy was confirmed between critical thinking and study satisfaction, as well as between generalized anxiety and study satisfaction. Conclusions: Due to the high academic load on medical students, academic self-efficacy plays a mediating role in the relationship between critical thinking, generalized anxiety, and satisfaction with studies. The development of educational strategies will help to promote critical thinking and academic self-efficacy, as well as provide support to students with generalized anxiety, to enhance study satisfaction.