IntroductionUniversity students are at high risk for anxiety and depression. Our main objective was to tease apart variance in symptom severity that was uniquely attributable to four associated variables that are frequently confounded: exposure to childhood emotional abuse, alexithymia, sensory processing sensitivity (SPS), and anxiety sensitivity (AS).MethodsUniversity students (N = 410) completed an online survey designed to measure our four key study variables along with several other potentially relevant variables including sex, physical activity levels, and perceived COVID-19 impacts.ResultsOver half of the participants reported moderate to extremely severe symptoms of anxiety and depression. Females reported stronger signs of SPS and AS and were more likely than males to have increased their moderate/vigorous exercise since the pandemic began. After controlling for the other variables, the best predictors of perceived COVID-19 impacts were SPS, childhood emotional abuse, and current levels of physical activity. Whereas all three personality variables and childhood emotional abuse emerged as significant predictors of both depression and anxiety, neither COVID-19 impacts nor physical activity levels accounted for unique variance in either model. Unexpectedly, male sex emerged as an additional risk factor for depression, raising the possibility that males experience unique stressors and societal pressures that increase their risk of depression.DiscussionThese findings help to clarify the links between childhood emotional abuse, personality traits implicated in emotional awareness and self-regulation, and mental health. They may have important implications for the development and implementation of individualized treatments for common mental disorders.