The timely detection of psycho-emotional risks has become increasingly important due to the rapid growth of social media platforms. This study examines user-generated text as a potential source of early indicators of psychological vulnerability. The proposed NLP-based framework incorporates behavioral features to improve the interpretation of users’ psycho-emotional states. In addition to text classification, the study considers structured behavioral indicators to support psycho-emotional risk analysis. Particular attention is given to interpretability. SHAP-based techniques are applied to reveal the contribution of individual features and to provide a clearer explanation of model predictions. The evaluation was conducted on publicly available datasets containing textual data and aggregated behavioral/physiological indicators. No raw physiological streams, wearable sensor data, or biometric recordings were used. The two datasets were employed in complementary experimental settings and were not aligned at the individual-sample level; accordingly, the broader analytical perspective explored in this study should not be interpreted as a single end-to-end or fully aligned multimodal learning framework. The proposed BERT-based model with SHAP interpretability achieved an accuracy of 96.3%, an F1-score of 0.96, and a ROC–AUC score of 0.98, showing consistent improvement over baseline models, including Random Forests and Support Vector Machines.