A certain link exists between the consumption of particular groups of food and well-being. In this study, we analyzed in depth the relationship between strict adherence to the Mediterranean diet (MD) and emotional well-being through a descriptive, exploratory, transversal, and correlational study of students from the Campus of Melilla, University of Granada, Spain. The sample consisted of 272 individuals. Adherence to the MD was measured with the PREvención con DIetaMEDiterránea (PREDIMED) questionnaire, emotional well-being (both positive and negative affection) with the Spanish version of the Positive and Negative Affect Schedule (PANAS), the state of perceived health with the Short Form-36 (SF36), and the degree of physical activity using the International Physical Activity Questionnaire Short Form (IPAQ-SF). A strict adherence to the MD was found to be significantly related to positive emotional state (β = 0.018, p = 0.009). The perceived state of health (β = 0.192, p < 0.001), mental role (β = 0.346, p < 0.001), and physical activity (β = 0.155, p = 0.007) were found to be predictive factors of a positive emotional state. Conversely, the relationship between the adherence to the MD and a negative emotional state was not significant. Various components of the MD were found to be independently connected to well-being. The results suggest that adopting a nutritional pattern such as the MD is linked to an improvement in emotional well-being.