Regular physical exercise has preventive effects for psychological wellbeing. The objective of the present descriptive study was to analyse the association between the practice of physical exercise and healthy life habits, and psychological well-being. It used two samples, one of them composed of 208 students from the Aveiro University (Portugal) and the other composed of 239 students from the Granada University (Spain). The subjects answered a questionnaire about socio-demographic data, health and physical exercise, the Perceived Stress Scale (PSS), and a shortened version of the Profile of Mood States (POMS). The results obtained in both groups showed that the limited use of alcohol or tobacco and the limited overweight are not related to physical exercise, but psychological well-being is related to regular practice of physical exercise, independently of the type of exercise practiced. The subjects that realize regularly exercise tend to perceive higher health level, lower stress level, and better mood states. Implications of the findings and further research lines in this area are discussed.