The research aim of this paper was two-fold: to generate evidence that personality factors are linear predictors of the variable approaches to learning (a relevant cognitive-motivational variable of Educational Psychology); and to show that each type of learning approach differentially predicts positive or negative achievement emotions, in three learning situations: class time, study time, and testing. A total of 658 university students voluntarily completed validated questionnaires referring to these three variables. Using an ex post facto design, we conducted correlational analyses, regression analyses, and multiple structural predictions. The results showed that Conscientiousness is associated with and predicts a Deep Approach to learning, while also predicting positive achievement emotions. By contrast, Neuroticism is associated with and significantly predicts a Surface Approach to learning, as well as negative achievement emotions. There are important psychoeducational implications in the university context, both for prevention and for self-improvement, and for programs that offer psychoeducational guidance.