<p>Sensory Processing Sensitivity (SPS) is a temperamental trait characterized by heightened responsiveness to environmental stimuli and increased vulnerability to stress. University students with high SPS may be more susceptible to academic stress and, consequently, mental health problems. This study examined the relationship between SPS, academic stress and anxiety and depression in university students, exploring the mediating role of academic stress dimensions. A cross-sectional study was conducted with 801 Spanish university students. The participants completed validated self-report instruments to assess SPS, academic stress, anxiety and depression. Parallel mediation models were estimated controlling for age and gender as covariates. The results revealed significant correlations between SPS and all academic stress dimensions, as well as with anxiety and depression. Mediation analyses revealed that academic stress partially mediated the association between SPS and both mental health outcomes. Specifically, academic performance beliefs emerged as the most robust mediator in both models, both for anxiety (<i>p</i> = 0.002; R2 = 0.21) and for depression (<i>p</i> &lt; 0.001; R2 = 0.17). Exam-related stress (<i>p</i> = 0.040; R2 = 0.18) and a negative social climate (<i>p</i> = 0.031; R2 = 0.19) were significant mediators in the anxiety model, whereas methodological teaching deficits were significant in the depression model (<i>p</i> = 0.024; R2 = 0.09). The findings emphasise the significance of academic stress, particularly performance-related cognitive beliefs, as a pivotal mechanism connecting SPS to psychological distress. Interventions addressing evaluative stressors, particularly those related to performance-related beliefs and negative perceptions of the social climate, have the potential to benefit highly sensitive university students.</p>