In the last decades, it has been shown that inflammatory processes play a role in the development of mental and physical problems; although some studies have researched the relationship between inflammation and psychological variables, the inclusion of biochemical variables as possible confounders has been limited. Therefore, the aim of this study was to determine whether psychological variables are associated with the inflammatory marker, highly sensitive CRP (hs-CRP), after controlling for personal and biochemical variables in the Mexican population. The study was performed at the University of Guadalajara facilities, during the second half of 2022. Healthy subjects were invited to participate in the study, which consisted of the measurement of personal, psychological, and biochemical variables. We included 172 participants, 92 (52.9%) of which were women; the median (range) of age of the whole sample was 22 (18–69) years old. In the bivariate analysis, significant positive correlations were observed between hs-CRP and body mass index (BMI) and waist/hip ratio (WHR) in both sexes, together with leukocytes, uric acid, low-density lipoprotein (LDL), triglycerides, and the liver enzymes gamma glutamyl transferase (GGT) and alkaline phosphatase (ALP). In the multivariate regression analysis of the global and men’s samples, anxiety was positively associated with hs-CRP, while depression and positive relations with others were negatively associated with hs-CRP. In conclusion, psychological variables influence inflammation mainly in men, and anxiety was the main contributor; in addition, positive relation with others is a variable that should be further explored as a psychological protector of inflammation in both sexes.