Medical education is widely known to be demanding and stressful, with elevated levels of anxiety and depression among medical students. This study aims at examining well-being, perceived stress and quality of life in a sample of Italian first-year medical students in order to investigate the relations between these variables and individual characteristics and behaviours. An anonymous cross-sectional questionnaire was administered to a sample of 407 Italian first-year medical students. Psychological well-being, perceived stress and quality of life were assessed using standardised questionnaires PGWBI, PSS, SF-12. Data were analysed with multivariate statistical methods. Significant differences in PGWBI, PSS and SF-12 scores were found between males and females (with poorer scores for females), between smokers and non-smokers (with poorer scores for smokers) and between students who reported cannabis use in their lifetime and students who did not (with poorer scores for those who smoked cannabis). Logistic regression showed that gender (OR 0.38, 95% CI 0.24–0.61), reported cannabis use (OR 1.82, 95% CI 1.07–3.09) and regular physical exercise (OR 0.54, 95% CI 0.34–0.86) were significant predictors of distress. In summary, this study shows that female medical students and students who reported negative health behaviours and sporadic drug use reported lower psychological well-being and quality of life and higher stress, while positive health behaviours might prevent distress.