Studies showed that university and college students are vulnerable to mental health problems. High rates of depression, anxiety and stress among students have generated increasing public concern in western societies, but in eastern societies this issue remains mostly undiscovered. The healing force of music has been known since ancient times and studies showed the positive impact of music on mental health problems. However, few studies have been conducted on music students’ psychological well-being. In this study we wanted to assess the psychological well-being of undergraduate music education students in terms of depression, anxiety and stress as well as their happiness and life satisfaction levels. A second objective of this study was to examine the effects of different types of classical music (baroque versus romantic/post-romantic) on depression, anxiety and stress levels as well as on perceived happiness and life satisfaction. A total of 69 students participated in this study, with 35 assigned to Group I (listened to baroque music) and the other 34 assigned to Group II (listened to romantic/post-romantic classical music). No statistically significant relationships were found between depression, anxiety and stress levels and any of the socio-demographic characteristics that were studied. This was the same for happiness and life satisfaction levels. There was, however, a significant relationship between economic status and life satisfaction which was found to be positively related. A significant negative correlation was determined between depression and happiness and between depression and life satisfaction. The difference between depression, anxiety and stress levels as well as happiness and life satisfaction levels for Group I and Group II students was not statistically significant.