Young adults have a significant prevalence of mental disorders, which could lead to dysfunctional quality of life. Records of 1,645 Spanish adolescents were examined and multiple logistic regressions were performed. Being a woman, being older and having a sedentary life were all associated with a higher psychological vulnerability, whereas a low frequency of fresh fruit and bread/cereals consumption, as well as regular intense physical activity, were considered protective against such susceptibility. Regular physical activity and a diet with a high consumption of fruit and cereals may help reduce depressive symptoms, but sociodemographic features are as much as important as lifestyle habits.