Two of the problems that currently affect a large proportion of university students are high levels of anxiety and stress experienced in different situations, which are particularly high during the first years of their degree and during exam periods. The present study aims to investigate whether mindfulness training can bring about significant changes in the manifestations of depression, anxiety, and stress of students when compared to another group undergoing a physical activity program and a control group. The sample consisted of 125 students from the Bachelor of Education Program. The measuring instrument used was the Abbreviated Scale of Depression, Anxiety and Stress (DASS-21). The results indicate that the effects of reducing the identified variables were higher for the mindfulness group than for the physical education group and for the control group F(2) = 5.91, p = .004, η2 = .106. The total scores for all variables related to the mindfulness group decreased significantly, including an important stress reduction t(29) = 2.95, p = .006, d = .667. Mindfulness exercises and some individual relaxing exercises involving Physical Education could help to reduce manifestations of stress and anxiety caused by exams in students.