University students have to handle crucial challenges for their future lives, such as succeeding in academic studies and finding attachment figures. These processes could potentially involve their well-being and mental health, with possible sociocultural differences based on the country of study. In order to explore such potential differences, a cross-sectional, multi-center survey was performed involving students from the University of Torino (Italy), Sevilla (Spain), and Lusòfona (Portugal). The survey, conducted from May to November 2023, investigated students’ demographic and educational details, socioeconomic status, social support, mental health, academic environment, perceived COVID-19 pandemic impact, and future plans. Demographic profiles showed a predominance of female participants and straight sexual orientation, followed by bisexuality. Italian students showed the lowest levels of mental well-being and the highest rates of mental problems (anxiety and depression) and suicidal risk across the three countries despite the relatively similar profiles of social support. The prevalence of the students’ confidence in their professional future is higher in Spain than in Italy and Portugal. This study provides a comprehensive examination of university students’ mental health and well-being in three Southern European countries, addressing the major mental health challenges among university students and offering valuable insights for public health purposes.