Background: Both alcohol consumption and mental well-being problems have been found to be prevalent in higher educated students and often have severe consequences. However, previous findings of the association between these constructs are mixed, possibly because often linear models are fitted, while some theories suggest a curvilinear association between the two concepts. Objectives: To clarify previously mixed findings, the current study compared curvilinear and linear models for the relationship between alcohol consumption and mental well-being in university students. Because of potential gender differences in this relationship, these models were explored for females and males separately. Data from the first cross-sectional online survey wave of the Healthy Student Life project including 2,631 female and 998 male students was used. The Alcohol Use Disorders Identification Test-consumption was used to measure alcohol consumption. Mental well-being was assessed by six sub-concepts (i.e., depressive symptoms, anxiety, stress, life satisfaction, happiness, and self-rated mental health). Results: For females both linear (for anxiety, life satisfaction, and self-rated mental health) and curvilinear (for depression, stress, and happiness) associations were found, while for males no support for either curvilinear or linear models was found. Conclusions: Results should be interpreted with caution due to the small effect sizes in the relationships for females but may suggest that testing the curvilinear association between alcohol consumption and mental well-being is an important future endeavor.