Background/Objectives: Supporting the mental well-being of students through their educational journey is of vital importance. The objective of this study was to investigate the relationship between metacognition, personality traits, and various factors affecting mental health in a cohort of physical therapy (PT) and occupational therapy (OT) students. Methods: This cross-sectional observational study involved a self-administered questionnaire (distributed in October to November 2020) that gathered demographic information and included six scales measuring personality characteristics, health literacy, self-management skills, exercise habits (benefits and barriers), cognitive thinking, and cognitive deliberateness and impulsivity. Results: A cohort of 195 PT and OT students participated in the study. The findings revealed significant associations between metacognition and personality, particularly the association between low cognitive self-confidence and high emotional instability. This link suggests that students who struggle with cognitive self-confidence may also experience greater emotional instability, highlighting a need for targeted mental health support. Additionally, health literacy was negatively correlated with anxiety, while metacognition was positively correlated with perceived exercise benefits. Conclusions: This study highlights the importance of individualized metacognitive approaches to support students’ mental well-being. Interventions should focus on strengthening cognitive self-confidence through methods such as resilience training, cognitive restructuring, and mindfulness practices to help manage emotional instability. Furthermore, promoting physical activity, particularly among female students, and incorporating gender-specific strategies could enhance mental health outcomes.