The last decades of global development have, due to rapid urbanization, pressuring entire populations to changes in lifestyle and dietary habits, led to an increase in the prevalence of mental disorders, including stress. This study explored how lifestyle and dietary factors, such as physical activity, sun exposure, and vitamin D intake are related to perceived stress in a Mediterranean-based population. Physical activity level was evaluated using the international physical activity questionnaires (IPAQ), sun exposure was evaluated using the sunlight exposure measurement questionnaire (SEM-Q), and validated food frequency questionnaires (FFQs) were used to assess dietary intakes. The perceived stress of the study participants was evaluated using the perceived stress scale (PSS). Multivariate logistic regression models were used to test for potential associations. In the most adjusted model, an inverse association between physical activity level, sunlight exposure, vitamin D intake, and high perceived stress was found (OR = 0.72, 95% CI: 0.51, 1.00, OR = 0.72, 95% CI: 0.52, 0.99, OR = 0.69, 95% CI: 0.53, 0.89, respectively). However, when stratifying the population by level of physical activity, the retrieved associations with sunlight exposure and dietary vitamin D intake were significant only among those individuals reporting being moderately to highly physically active (OR = 0.16, 95% CI: 0.08, 0.33 and OR = 0.46, 95% CI: 0.28, 0.76, respectively), while results on low physically active participants were null. In conclusion, this study demonstrated that higher dietary intake of vitamin D and sunlight exposure are associated with a lower likelihood of having high perceived stress among physically active individuals.