The scientific literature on mental health has found an association between physical activity and emotional wellbeing and recommends active leisure activities as a way of keeping stress under control. The purpose of this research study is to analyze the level of anxiety, the symptoms of depression and the level of self-esteem of people practicing speleology, as well as possible gender differences. This paper also attempts to understand whether self-esteem is associated with the presence of symptoms of depression in speleologists and whether anxiety has a mediating effect. We conduct a cross-sectional and descriptive research study with a sampling of 105 adult speleologists. The results reveal that the total mediation model is applicable, as self-esteem has a significant indirect association with depression through trait anxiety, as well as a partial mediation model that is applicable through state anxiety. This means that speleologists with high levels of self-esteem, who appreciate and value themselves adequately, reveal lower levels of trait anxiety, and this negatively influences their levels of depression (that is, a lower level of depressive symptoms). At the same time, speleologists with high levels of self-esteem, who appreciate and value themselves adequately, also reveal lower levels of state anxiety, which again has a negative impact on their levels of depression (with fewer symptoms of depression). Emotions such as anxiety, self-esteem, depression and their collateral effects are international topics of interest, which are relevant for people from all sporting backgrounds; therefore, value should be placed on supporting and carrying out further research into this topic.