(1) Background: Several researches have shown the relationship between healthy habits and physical and mental health. Thus, it is essential to study how some psychosocial factors can promote positive behaviours in university students, specifically in those who will be teachers of Physical Education. (2) Methods: This descriptive and cross-sectional research was conducted on 775 university students of Physical Education from Spain. This study aims to develop an explanatory model for the relationships between motivational climate, healthy habits (Mediterranean Diet (MD), Physical Activity (PA) and substance consumption) and some indicators of physical health (oxygen consumption (VO2MAX)) and mental health (self-concept) according to gender, using structural equations analysis. (3) Results: The motivational climate was positively associated with PA, showing a stronger relationship for ego-oriented climate in women. The adherence to MD showed a positive association with PA and self-concept, while it is negative for the consumption of tobacco in men. Likewise, PA was directly related to VO2MAX with a higher regression weight for women. The ego-oriented motivational climate was negatively related to tobacco consumption in women. (4) Conclusions: Task-oriented goals are related to more positive and healthy behaviours such as PA, although it was no association was found with MD. Therefore, we can conclude the importance of promoting task-oriented goals in educational contexts linked to Physical Education in order to avoid negative behaviours.