Adolescent brain may be particularly vulnerable to alcohol. Plus, psychopathological disorders tend to emerge in this period. Consequently, early alcohol use may increase the risk of psychopathological disorders, with time and sex-dependent effects. However, few studies have analyzed the relationship between alcohol consumption and adolescent psychopathology in the general population. The objective was to determine the association between age of onset of alcohol use and psychopathological symptoms in university students, separately for both sexes. A cross-sectional study involving first-year university students (n = 3,696) was conducted. Symptoms were measured by the Symptom Checklist-R (SCL-90-R). The independent variable was age of first alcohol use. Dependent variables were the SCL-90-R dimensions, dichotomized. Alcohol consumption was considered a mediator variable. Data were analyzed separately for males and females. The findings showed that a younger age of onset is a risk factor for the following global indexes: Global Severity Index, Positive Symptom Total for females, and Positive Symptom Distress Index, for males. Alcohol consumption showed a higher mediator effect for females than for males. Early age of alcohol use is associated with increased psychopathological symptomatology in both sexes during the college freshman year. The pattern of symptomatology is different in each sex.