Background: The Mediterranean diet (MD) has many beneficial effects on health. However, compliance with MD is decreasing among university students. Aim: This study aims to investigate compliance with the MD and the association of MD with sleep quality, depression, anxiety, stress, and body mass index (BMI) among university students. Methods: This cross-sectional study included 750 students of Ondokuz Mayıs University, a state university in Samsun, Türkiye. Sociodemographic data and self-reported anthropometric data (weight and height) were recorded using a survey. The Mediterranean diet quality index for children and adolescents (KIDMED), the Pittsburgh sleep quality index (PSQI), and the depression anxiety stress scale-42 (DASS-42) were self-administered. Results: Most students (59.2%) had poor KIDMED adherence. Compared to poor adherers, those with good adherence to the KIDMED had significantly lower depression scores (in males and females). Higher adherence to the KIDMED was correlated with lower depression and stress levels (in males and females) and lower PSQI scores (lower sleep disturbances) in females. The KIDMED scores of overweight females were greater than those of underweight females. Conclusion: University students show poor adherence to the MD. Low adherence to the MD may have a negative impact on depression, stress, and sleep quality. This study suggests that interventions to promote MD may help improve university students’ sleep disturbances and mental health.