Unhealthy behaviors (UBs) can affect mental health. The most impactful of these are alcohol abuse, sedentary behavior, and sleep disturbances. Since these UBs are not well explored in medical residents, this study aims to overcome this gap, focusing on outcomes such as depression and anxiety. The Public Health Residents’ Anonymous Survey in Italy (PHRASI) is a nationwide cross-sectional study based on an 88-item questionnaire. UBs were explored through validated questionnaires: the Alcohol Use Disorders Identification Test-c (AUDIT-C), the International Physical Activity Questionnaire (IPAQ), and the Insomnia Severity Index (ISI). Depressive symptoms and anxiety were detected by Patient Health Questionnaire-9 (PHQ-9) and Generalized Anxiety Disorder-7 (GAD-7), respectively. Hierarchical cluster analysis described clusters using responses from the AUDIT-C, IPAQ, and ISI. A total of 375 participants were included in this study. Three distinct clusters (CL) were identified: CL1 was characterized by a moderate risk for alcohol abuse and high insomnia dissatisfaction, with a significantly higher frequency of depressive symptoms (46%, p < 0.001) and anxiety (53%, p < 0.001); CL2 had no risk for alcohol abuse, high sleep satisfaction, and better mental health profile, with the lowest prevalence of depressive symptoms (15%, p < 0.001); CL3 had the highest risk of alcohol abuse, the highest rate of physical activity (40%, p = 0.013), and the lowest prevalence of anxiety (27%, p < 0.001). Subjects belonging to CL1 required much more attention to prevent the worsening of mental outcomes. Interventions for promoting mental health should be addressed in all Public Health schools to create more sustainable working conditions.