Objective Starting university education is a crucial period for the mental health of students, who report higher levels of distress compared to the general population. This study sought to better understand the distress experienced by students by considering contextual facets (e.g., housing conditions) as well as stable clinical variables (e.g., negative affectivity, emotion regulation, and anxiety). Methods A total of 177 University students (71.2% females) aged 18-29 were administered the State-Trait Anxiety Inventory-Y, the Beck Depression Inventory-II, the Suicidal History Self-Rating Screening Scale, the Personality Inventory for DSM-5-Brief Form, and the Toronto Alexithymia Scale-20. Results University students showed concerning levels of distress, particularly concerning anxiety, and depression. We found that the relationship between negative affectivity and both state and trait anxiety was mediated by alexithymia but housing conditions did not act as a moderator for the indirect effect of negative affectivity on state or trait anxiety through alexithymia. Conclusion Undoubtedly, university lifestyle can be demanding, but experiencing distress is not inevitable nor inexplicable. The present study sought to gain insight into the anxiety experienced by Italian University students while taking into account the importance of personality and clinical characteristics that have previously been widely underestimated. We found that these characteristics can be of extreme importance for developing preventative and therapeutic interventions tailored to the clinical characteristics of students, as well taking into account their living environment.