Achievement emotions that the university student experiences in the learning process can be significant in facilitating or interfering with learning. The present research looked for linear and predictive relations between university students’ achievement emotions, coping strategies, and engagement-burnout, in three different learning situations (classroom, study time, and testing). Hypotheses were identified for a possible model that would analyze the two facets of perfectionism based on these relations. In the case of perfectionistic strivings, the test hypothesis was that positive emotions would predispose the use of problem-focused coping strategies and an emotional state of engagement; in the case of perfectionistic concerns, however, negative emotions would predispose the use of emotion-focused strategies and a state of burnout. A total of 654 university students participated in the study, using an online tool to complete validated questionnaires on the three study variables. All students provided informed consent and corresponding permissions. Given the ex-post facto linear design, the predictions could be verified for each situation by means of logistic regression analyses and Structural Equations Models (SEM). Empirical results lent support, in varying degree, to the proposed theoretical relations. The testing situation was of particular interest. We discuss implications for perfectionism research and for the practice of prevention, education and health care in the university setting.