We examined facets of mindfulness (describing, awareness, non-judging, and non-reactivity), three dimensions of negative self-compassion (self-judgment, isolation, and overidentification), self-efficacy, and gender as predictors of depression, anxiety, stress, and well-being among 204 undergraduates in the USA. Although there is overlap across these phenomena, previous research has not examined them together. Describing, non-judging, and awareness (inversely), as well as isolation and self-judgment, predicted depression. Only mindful non-judging and non-reactivity predicted anxiety (inversely). Non-judging, awareness, and non-reactivity (inversely), as well as isolation, predicted stress. Mindful describing and non-judging, together with self-efficacy and gender, predicted well-being. After accounting for self-efficacy, self-compassion, and gender, facets of mindfulness contributed unique variance in predicting depression, anxiety, stress, and well-being. We confirmed the importance of mindful non-judging in predicting distress (inversely) and well-being and identified the particular contributions of mindful describing for depression (inversely) and well-being. We established the value of mindful non-reactivity (inversely) for anxiety and stress. Additionally, we confirmed the relevance of self-judgment and isolation for depression and of isolation for stress. Finally, we established self-efficacy and gender as predictors of well-being. The preceding findings speak to the importance of investigating mindfulness, self-compassion, self-efficacy, and gender together in predicting depression, anxiety, stress, and well-being.