The primary purpose of this study is to design a model that examines the mediating role of moral identity in the effect of self-efficacy on stress, depression, and anxiety. For this purpose, the researcher applied three scales to 366 students enrolled in state universities on the Anatolian side of Istanbul. The data analysis used parametric tests, correlation tests, structural equation models, and Bayesian reliability analyses. Based on the results from the structural equation modeling analysis, the variable of moral identity was found to have a significant effect on the positive impact to selfefficacy on psychological problems. Therefore moral identity has been concluded to be able to help reduce the effects of stress, depression, and anxiety.