The principal aim of this study was to investigate the psychosocial well-being of emerging adults using psychological states associated with this transitional phase and classic measures of emerging adulthood. We expected psychological states to be more closely associated with psychological well-being than classic markers of achieved adulthood. Data were collected in the Cohort Study on Substance Use Risk Factors from 4,991 Swiss men aged 18–25 years. The assessment included the Short Form of the Inventory of Dimensions of Emerging Adulthood (IDEA-8), classic markers of achieved adulthood (e.g., financial independence, stable relationship), and psychosocial well-being. Structural equation models (SEMs) were conducted to test the association between measures of emerging adulthood and psychosocial well-being. Overall, the results highlighted contrasting associations of measures of emerging adulthood and psychosocial well-being. Youths facing negative psychological states (dimension "negativity") and exploring life without knowing how to define themselves (dimension "identity exploration") had a decreased psychosocial well-being. On the contrary, youths exploring many opportunities with an optimistic perspective (dimension "experimentation") had an increased psychosocial well-being. By contrast, classic markers of adulthood were less related to psychosocial well-being. The IDEA-8 Scale appeared to be a useful screening tool for identifying vulnerable youths, and emerging adulthood should be measured with a focus on the psychological states associated with this period. This information may be valuable for mental health systems that have not yet adapted to emerging adults’ needs.