Rates of anxiety and depression are known to be high in university students, and the COVID-19 pandemic appears to have exacerbated this situation slightly, especially in females. Research has consistently identified alexithymia, sensory processing sensitivity (SPS), anxiety sensitivity (AS), and childhood emotional abuse as risk factors for poor mental health outcomes. Given that linkages have also been reported between these variables, it is difficult to ascertain the unique weight of each factor in the overall prediction of mental health. The current dissertation sought to fill this gap in the literature by investigating how these and other potentially relevant variables relate to depression and anxiety in young adults engaged in widely differing levels of physical activity. In Study 1, 410 university students completed an online survey assessing current mood, alexithymia, SPS, AS, childhood emotional abuse, physical activity, and pandemic-related impacts. Over half of the participants reported moderate to extremely severe symptoms of anxiety and depression. Alexithymia, SPS, AS, and childhood emotional abuse each accounted for unique variance in prediction of both anxiety and depression. Males scored significantly lower than females on SPS and AS, but male sex emerged as an additional risk factor for depression when these variables were controlled for. Several secondary analyses were carried out using the data from the 309 female participants to gain further insights into their risk profile. The results suggested that risk for exercise dependence negatively predicted depression, and that being an athlete positively predicted anxiety, when effects related to the aforementioned personality and experiential variables were controlled. Finally, two follow-up studies were conducted involving a subgroup of the females who took part in the original investigation. The results of these studies suggested that, in females, problems exercising self control when demands of emotion and attentional processing overlap accounted for unique variance in prediction of anxiety and that body uneasiness accounted for unique variance in prediction of both anxiety and depression, when holding variance accounted for by personality and experiential variables constant. The results from this basic research provide a more nuanced understanding of the influence of co-occurring alexithymia, SPS, AS, and childhood emotional abuse on emotional processing during the COVID-19 pandemic. They also have important implications for the development and implementation of individualized treatments for common mental disorders, particularly in females.