(1) Background: Literature to date has shown some contradictory findings regarding the associations between empathy and mental health. Thus, the Caring component of Positive Youth Development has been related to more mental health symptoms, while positive empathy seems to have a positive impact on psychological adjustment. The present study aimed to analyze the associations between Caring and positive empathy with youth depression and anxiety, as well as examining gender differences. (2) Methods: A cross-sectional study was carried out by administering an online self-report to a sample composed of 370 university students (67.2% women), aged 18-29 (M=21.29, SD = 3.61), enrolled across 10 universities in the Spanish region of Andalusia; (3) Results: Women reported higher levels of the caring dimension of PYD, more positive empathy, but more symptoms of depression and anxiety. Mediational analyses to explain the gender differences in mental health concluded that: a) women reported more depression and anxiety partly due to their higher scores in Caring, and b) despite women had more positive empathy than men, this mechanism was only protective against anxiety in the subsample of men; (4) Conclusions: The promotion of mental health in university context should include fostering adaptive empathetic skills.