PhD students report a higher prevalence of mental illness symptoms than highly educated individuals in the general population. This situation presents a serious problem for universities. Thus, the knowledge about this phenomenon is of great importance in decision-making. In this paper we use the Nature PhD survey 2019 and estimate several binomial logistic regression models to analyze the risk of interrupting doctoral studies. This risk is measured through the desire of change in either the supervisor or the area of expertise, or the wish of not pursue a PhD. Among the explanatory factors, we focus on the influence of anxiety/depression, discrimination, and bullying. As control variables we use demographic characteristics and others related with the doctoral program. Insufficient contact time with supervisors, and exceeding time spent studying crossing the 50-h week barrier, are risk factors of PhD studies interruption, but the most decisive risk factor is poor mental health. Universities should therefore foster an environment of well-being, which allows the development of autonomy and resilience of their PhD students or, when necessary, which fosters the development of conflict resolution skills.