The COVID-19 pandemic has been one of the most stressful events in recent times across the
world. The long-term effect of these experiences raises several concerns, including the development
of post-traumatic stress symptomatology. However, little is known about the psychological processes
that mediate this association. The aim of this study was to explore the association of emotional
exhaustion and anxiety in post-traumatic stress symptomatology, and the mediating role of resilience
and psychological well-being in university students. A total of 526 university students of both sexes
participated in this study, and they were aged between 17 and 62 years old. Symptoms of anxiety
and emotional exhaustion were significantly higher in females, in contrast, males showed on average
more resilience and psychological well-being. Additionally, participants with COVID-19 infection
had higher levels of emotional exhaustion, anxiety, and PTSD. The results indicated that the variables
were correlated with each other (p < 0.001). A conceptual model was confirmed that describes
anxiety and emotional exhaustion as predictors, post-traumatic stress symptomatology as an outcome
variable, and resilience and psychological well-being as mediators. Resilience and psychological
well-being can be important protective factors for adaptive responses in stressful situations. The
findings obtained in this study will provide a theoretical basis for designing targeted interventions
to improve psychological health, whether for crisis intervention, the process of adapting to higher
education, or for recovery plans from psychological trauma.