Despite the importance of patients’ psychological well-being in their own recovery from illness, few studies examine these issues while the patient is still in ICU. This study analyzes the psychological distress of 71 ICU patients and the potential risk/protective factors for such distress. Patients showed moderate anxiety and depression although in a significant percentage clinical symptomatology was observed. More than halve of the patients revealed an intermediate general stress level and the most important stressor was having pain. Regarding risk factors for psychological distress, being a woman increased the risk for anxiety, depression and stress. Being a septic patient also increased the risk of experiencing stress. Conversely, some protective factors were being married and younger. These data provide a landscape of the distress experienced by patients while they are still in ICU, which is important to optimize the attention provided in a context where time for intervention is rather limited.