Background and Objectives: Certain lifestyle behaviors can act as either buffering or aggravating factors influencing the mental well-being of university students. The current investigation assessed the association between academic performance and the risk of anxiety, depression, and stress among university students and how physical activity might buffer the levels of these conditions. Materials and Methods: A cross-sectional design was utilized to reach a sample of university students from Saudi Arabia. Data about the demographics of the students, GPA, exercise regularity, and levels of anxiety, depression, and stress were collected. Logistic regression was performed to investigate the influence of exercise regularity on the presence of anxiety, depression, and stress, dividing the sample according to the GPA category. Result: A total of 506 students were recruited. The mean age of the students was 22 years, and 53% of the students were men. An assessment of the levels of depression, anxiety, and stress indicated that 60%, 57%, and 40% have abnormal levels of these conditions, respectively. Students with a GPA of "good" or lower exhibited higher levels of stress. Exercising regularly was associated with a protective effect against depression and stress (p < 0.05). However, the buffering effect of exercise was more apparent among students with a GPA of "very good" or above compared to students with lower academic achievement. Conclusions: The lack of a statistically significant association between physical activity regularity and mental well-being among students classified as low academic achievers may indicate the need for additional psychological support in addition to the promotion of a physically active lifestyle.