The actual COVID-19 pandemic scenario has generated a context of uncertainty, helplessness, and inequality. Yet, the perception of COVID-19 risk has influenced nutritional, psychological, and physical activity patterns depending on gender. We conducted the present research with the aim of studying gender differences of university students in the perceived risk of the COVID-19 pandemic, and in psychological, nutritional, oral health, and physical activity habits. To reach the study’s aim, 300 volunteer university students completed an online questionnaire which analyzed variables of perceived risk of the COVID-19 pandemic, psychological profiles, and nutritional, oral health, and physical activity habits. Results showed that females presented a higher perception of danger to the COVID-19 virus than males but showed no differences in how the pandemic has affected personal lives. Females showed higher values of anxiety, conscientiousness, neuroticism, and openness to experience, while males presented higher values of extraversion. Nutritionally, males presented greater consumption of soft drinks, meat, and pasta or rice, and lower buccal hygiene. Yet, no differences were found regarding physical activity patterns. Results from the present study could be used by various educational institutions to implement multidisciplinary interventions to reduce the stress and risk perception.