This study investigates the relationship between academic engagement, psychological capital (PsyCap) resources (efficacy, hope, optimism, resilience) and academic performance. Data were collected in two different universities, one in Spain (N = 389) and another in Portugal (N = 243). Undergraduate students completed self-report questionnaires regarding academic engagement and Psychological Capital. Academic performance was assessed through Grade Point Average, provided by the universities at the end of the exam period. Results showed a positive relationship between academic engagement, PsyCap, and academic performance in both samples. Results also supported PsyCap as a full mediator in the relationship between academic engagement and academic performance. Exploration of alternative models yielded a superior fit for the proposed model. Accordingly, academically engaged students were likely to experience higher levels of psychological resources, which in turn positively impacted their academic performance. The results point to the importance of considering psychological predictors, rather than the prevalent reliance on traditional predictors of academic performance.