Introduction: Recent evidence reported mental health issues in university students such as anxiety and depressive symptoms and poor sleep quality. Decreased plasma brain-derived neurotrophic factor (BDNF) levels have been proposed as a biomarker of depressive symptoms, whereas cortisol levels are an index of energy mobilization and stress and have been linked to sleep quality. Given that salivary biomarkers represent an interesting new field of research, the aim of this cross-sectional study was to evaluate salivary BDNF and cortisol levels in university students to assess whether they have associations with psychological disturbances such as anxiety and depressive symptoms, sleep quality, and stress level. Methods: Salivary BDNF and cortisol levels were measured by specific immunoassays in 70 students whose mental health was also evaluated on the same day through the evaluation of anxiety and depression symptoms (Goldberg scale), sleep quality (Pittsburg Sleep Quality Index and Athens Insomnia Scale), and stress (self-perceived stress scale) and healthy lifestyle habits (alcohol consumption, smoking, regular exercise, and body mass index) were also measured. Multivariate regression analyses were performed in order to identify the strengths of associations between psychological alterations and the concentrations of BDNF, cortisol, and other variables. Results: Salivary BDNF levels were significantly higher in students with more depressive symptoms, whereas no significant differences were found for cortisol levels. When performing the binary logistic regression model, BDNF levels are included as a predictor variable for a high-depressive-symptoms burden (p < 0.05). Students with worse sleep quality on the Pittsburg Scale had higher cortisol levels (p < 0.05). The subdomains of sleep latency and sleep medication were those significantly associated with salivary cortisol levels in logistic regression analyses (OR = 15.150, p = 0.028). Sleep medication only appeared to be related to cortisol levels (OR = 185.142, p = 0.019). Perceived stress levels and anxiety symptoms were not associated with BDNF or cortisol levels. Conclusions: BDNF could play a key role in the pathophysiology of mood-related disorders, and elevation of its peripheral levels could contribute to protecting neurons from the development of mental illness. Higher salivary cortisol levels measured in the morning are accompanied by poorer sleep quality. More research is needed, focusing on salivary biomarkers of disorders related to depressive symptoms and poor sleep quality as a potential tool for the diagnosis and prevention of mental illness.