University students constitute a population that is highly vulnerable to developing mental health problems, such as distress. The role of different variables associated with the development of states of stress has been studied in order to identify potential risk and protective factors. This study explored whether mindfulness, self-compassion, and experiential avoidance, while controlling for specific sociodemographic and academic variables, were potential significant protective or risk factors explaining perceived stress in a sample of 589 Spanish university students (81.2% female, age range 18–48 years). A hierarchical multiple regression analysis was performed using an exploratory cross-sectional design. Higher experiential avoidance, lower self-compassion, lower mindfulness, not perceiving family support, higher total study hours per week, having a partner (vs. being single), being female (vs. being male), and being older were significantly associated with higher levels of perceived stress. In conclusion, perceived stress in our sample was positively associated with experiential avoidance, which could be regarded as a potential psychological risk variable. In contrast, perceived stress was negatively correlated with self-compassion and mindfulness, which, in turn, could be seen as protective factors. Accordingly, it is concluded that programmes aimed at reducing stress and at improving well-being among university students should include experiential avoidance, self-compassion, and mindfulness as therapeutic targets.