The study aimed to identify accurate cut-off points for waist circumference (WC), body fat percentage (BF%), body mass index (BMI), fat mass index (FMI), and fat-free mass index (FFMI), and to determine their effective accuracy to predict cardiovascular risk factors (CVRFs) among Mexican young adults. A cross-sectional study was conducted among 1730 Mexican young adults. Adiposity measures and CVRFs were assessed under fasting conditions. The optimal cut-off points were assessed using the receiver operating characteristic curve (ROC). Age-adjusted odds ratios (OR) were used to assess the associations between anthropometric measurements and CVRFs. The cut-off values found, in females and males, respectively, for high WC (≥72.3 and ≥84.9), high BF% (≥30 and ≥22.6), high BMI (≥23.7 and ≥24.4), high FMI (≥7.1 and ≥5.5), and low FFMI (≤16 and ≤18.9) differ from those set by current guidelines. High BMI in women, and high FMI in men, assessed by the 50th percentile, had the best discriminatory power in detecting CVRFs, especially high triglycerides (OR: 3.07, CI: 2.21–4.27 and OR: 3.05, CI: 2.28–4.08, respectively). Therefore, these results suggest that BMI and FMI measures should be used to improve the screening of CVRFs in Mexican young adults.