The prevalence of mental health problems, particularly depression and anxiety among university students, has increased drastically since the COVID-19 pandemic. In this cross-sectional study, we take three factors that evidence suggests should have an impact on student mental health-sleep, exercise, and alcohol consumption-and add a novel factor of preference for solitude (PFS). This particular factor has been chosen as post-COVID-19; it has been indicated that there are fewer interactions and a lower sense of community and belonging amongst younger people, and this may impact individual students in different ways relative to their preference for social interaction or solitude. The current study recruited 290 student participants from the University of Birmingham and measured depression using the Patient Health Questionnaire (PHQ-9) and anxiety using the generalised anxiety disorder (GAD-7) questionnaire measures. Sleep was measured using the Sleep Condition Indicator (SCI), PFS was measured using the Preference for Solitude Scale (PSS), exercise used the Recent Physical Activity Questionnaire (RPAQ), and alcohol consumption was measured by units consumed per week. Correlational analysis and multiple regression analyses were used to determine the associations between the variables and whether sleep, exercise, alcohol consumption, and PFS predicted our measures of mental health. The study found a significant negative correlation between PFS and both depression (r = -0.14, p = 0.017) and anxiety (r = -0.20, p < 0.001). Regression analysis identified PFS as the sole significant predictor of mental health outcomes, accounting for 3.7% of the variance in depression and 1.6% in anxiety. PFS may act as both a protective and risk factor for mental health, underscoring its importance in developing targeted interventions for university students.