Universities play a pivotal role in preparing future leaders capable of addressing complex sustainability challenges. However, the development of sustainable entrepreneurial intentions requires more than technical competence; it involves emotional resilience and higher-order cognitive capacity. This study examines how mental wellbeing and academic burnout affect sustainable entrepreneurship attitudes among university students, with systems thinking acting as a mediating competency. Drawing on a sample of 367 students from three universities in northeastern Mexico, Partial Least Squares Structural Equation Modeling (PLS-SEM) was applied to test a six-hypothesis conceptual model. Results confirm that mental wellbeing positively influences both systems thinking (β = 0.31, p < 0.001) and sustainable entrepreneurial orientation (β = 0.28, p < 0.001), while burnout exerts a detrimental effect on both dimensions. Systems thinking partially mediates these relationships, underscoring its role as a cognitive lever for sustainability-oriented action. The model explains 48% of the variance in sustainable entrepreneurship attitude. These findings reinforce the importance of integrating psychological support and cognitive training into higher education programs that aim to promote sustainable entrepreneurship, with direct implications for SDG 4 (Quality Education) and SDG 8 (Decent Work and Economic Growth).