Introduction: COVID-19 provoked a myriad of challenges for people’s health, poor life satisfaction and an unhealthy diet that could be associated with serious negative health outcomes and behaviours. University is a stressful environment that is associated with unhealthy changes in the eating behaviours of students. The association between diet and mental health is complex and bidirectional, depending on the motivation to eat; emotional eaters regulate their emotions through the increased consumption of comfort foods. Objective: The aim of this study was to compare the nutritional habits, alcohol consumption, anxiety and sleep quality of female health science college students. Material and methods: A cross-sectional study of 191 female undergraduate students in Madrid was used. Their body mass index and waist hip ratio were measured. The questionnaires used included the Mediterranean Diet Adherence test, AUDIT, Emotional Eater Questionnaire, Pittsburgh Sleep Quality Index, and Food Addiction, Perceived Stress Scale and STAI questionnaires. Results: We observed a high intake of protein, fat, saturated fatty acids and cholesterol. Overall, 9.5% never had breakfast, and 66.5% consciously reduced their food intake. According to Pittsburgh Sleep Quality Index, they mainly slept 6–7 h, and 82% presented with a poor sleep quality; 13.5% presented moderate–high food addiction, and 35% had moderate Mediterranean Diet Adherence score. Conclusion: Female students’ macronutrient imbalances were noted, with a high-level protein and fat intake diet and a low proportion of carbohydrates and fibre. A high proportion of them need alcohol education and, depending on the social context, they mainly drank beer and spirits.