This study investigated gender differences in health-risk behaviour patterns among young adults and assessed the associations of anxiety and depression with these patterns. A cross-sectional survey was conducted with 1740 young Chinese adults aged 18–24 years. Latent class analysis (LCA) and multinomial logistic regression were conducted to identify the clusters of health-risk behaviours and their associations with anxiety and depression. Three common patterns were found for both genders: physical inactivity, substance use, and insufficient fruit intake (5.7% for males [M] and 11.6% for females [F]); a sedentary lifestyle only (48.4% for M and 48.9% for F); and a sedentary lifestyle, substance use, and an unhealthy diet (7.6% for M and 20.0% for F). Additionally, two additional unique patterns were found: physical inactivity and unhealthy diet in males (38.3%) and physical inactivity and insufficient fruit intake in females (19.6%). Sociodemographic variables exert different effects on health-risk behaviour patterns as a function of gender. Lower anxiety levels (odds ratio [OR]: 0.892; 95% confidence interval [CI]: 0.823–0.966) and greater depression levels (OR: 1.074; 95% CI: 1.008–1.143) were associated with a sedentary lifestyle, substance use, and unhealthy diet class only in female young adults compared with a sedentary-only class. These findings underscore the need for the implementation of targeted interventions based on gender differences.