The relationship between suicidality, depression, anxiety, and well-being was explored in young adults (median age 20.7 years) from the State of Yucatan (Mexico), which has a suicide rate double that of other Mexican states. A cross-sectional study was carried out in 20 universities in Yucatan and 9,366 students were surveyed using validated questionnaires built into a smartphone app, applying partial least squares structural equation models. High suicide risk was assessed in 10.8% of the sample. Clinically relevant depression and anxiety levels were found in 6.6% and 10.5% of the sample, respectively, and 67.8% reported high well-being. Comparably higher levels of suicide risk, depression and anxiety, and lower well-being were found in women, who were also somewhat older than men in our study. Furthermore, path analysis in the structural equation model revealed that depression was the main predictor of suicidal behaviour as well as of higher anxiety levels and lower self-perceived well-being in the total sample and in both genders. Our findings draw attention to the association between suicidality, depression, anxiety, and well-being in Yucatan young adults and gender differences with this regard. Mental health screening via smartphone might be a useful tool to reach large populations and contribute to mental health policies, including regional suicide prevention efforts.