Previous studies explored the relations between preference for intense music (i.e., alternative, heavy metal, punk, and rock) and mental health. However, the results so far are inconclusive and do not assess if a preference for intense music directly or indirectly predicts mental health. To address this issue, the present research assessed the mediational role of positive and negative affect on the relation between preference for intense music and mental health. We hypothesized that preference for intense music predicts positive and negative affect, which, in turn, contributes to lower levels of mental health (i.e., stress, depression, and anxiety). Participants were 268 individuals ( Mage = 26.6; SDage = 8.30; 63.4% women). Supporting our hypothesis, preference for intense music directly predicted positive and negative affect, and indirectly mental health. Most of these relations remained significant even after controlling for important confounding effects, such as age, gender, and neuroticism. Alternative models were examined, but the hypothesized model presented a better fit. Overall, our research indicates that intense music plays an important role in people’s affects and mental health.