Background: Health sciences students experience high levels of psychopathology conditioned by psychosocial, financial, and academic factors. However, COVID-19 pandemic might even have worsened their mental health. Thus, this article aims to evaluate how the exposure to COVID-19 pandemic has affected these students’ mental health and to determine the effect of purpose in life and character strengths on this psychopathology. Methods: A cross-sectional study of unpaired samples was carried out in Spain during the first and third waves of the pandemic in 70 medical and 52 nursing students. Results: The risk factor that most determined the appearance of anxiety was the exposure of family and friends to COVID-19 (OR = 4.01; p < 0.001), while the most protective factors were honesty (OR = –1.14; p = 0.025) and purpose in life (OR = – 0.18; p < 0.001). Purpose in life also protected against the onset of depression and total psychopathology. In addition, we observed studying medicine was a protective factor against total psychopathology while being a nursing student was associated with high levels of acute stress. Conclusion: Exposure of the students’ family and friends to SARS-CoV-2 favored the appearance of symptoms of anxiety. Honesty had a preventing role in the onset of anxiety and a high purpose in life was protective against the appearance of anxiety, depression, and total psychopathology.