Objectives: Medical and dental students experience poor psychological well-being relative to their peers. This study aimed to assess the psychological well-being among medical and dental students in Saudi Arabia, identify the high-risk groups and assess the association between the psychological well-being and the academic performance. Methods: In this cross-sectional study, 422 preclinical medical and dental students at Umm Al-Qura University, Saudi Arabia, were recruited to assess their depression, anxiety, stress, self-efficacy and satisfaction with life levels using 21-items Depression Anxiety Stress Scale (DASS-21), General Self-Efficacy (GSE) scale and Satisfaction With Life Scale (SWLS). Students' academic weighted grades were obtained later. Descriptive statistics and univariate general linear model were used to analyse data. Results: High levels of depression (69.9%), anxiety (66.4%) and stress (70.9%) were indicated, whereas self-efficacy (mean ¼ 27.22, sd ¼ 4.85) and life satisfaction (mean ¼ 23.60, sd ¼ 6.37) were within the normal range. Female medical students had higher psychological distress in contrast to dental students. In general, third-year students were more depressed and stressed in comparison with second-year students, except for stress among dental students. Moreover, all females had higher self-efficacy than males. Life satisfaction was higher within the second-year and high family income students. Depression was the only psychological variable correlated with the academic performance. Conclusion: High levels of psychological distress were found. Female medical students had higher psychological distress than males, whereas male dental students had higher distress than female. Medical students at third year were more depressed and stressed. Dental students were more depressed in the third year, but more stressed in the second year. Attention should be directed towards reducing the alarming levels of depression, anxiety and stress among medical and dental students.