High levels of perfectionism in college students can compromise their academic performance and psychological well-being. This study aims to analyze the implication of perfectionism in psychological well-being and suicidal ideation in the last year. A total of 1.287 students from different degrees reported their academic performance in the previous academic year and completed questionnaires on academic perfectionism, psychological well-being, and suicidal thoughts in the last year. In both men and women, academic perfectionism correlates positively with academic performance and negatively with the different dimensions of psychological well-being. Likewise, both the average grade in the previous year (β = 0.364) and the level of demand of the degree (β = −0.461) are mediating variables between perfectionism and psychological well-being. Furthermore, the interaction between perfectionism and academic performance is related positively to psychological well-being, but not to with suicidal ideation. So, the relation between suicidal ideation and perfectionism is positive (OR = 1.075), but this is negative with academic performance (OR = 0.900), although both variables show a mild predictive capacity. These findings suggest that the levels of perfectionism are associated differently with the mental health of students, since if perfectionism is effective (high academic performance), psychological well-being is high, although in our results, this interaction is not as important for suicidal thoughts.