The purpose of this study was to analyze the relationships among physical exercise and fitness with selective attention, concentration, processing speed, general self-efficacy, self-rated health, and satisfaction with life. 208 adolescents between 14 and 16 years, from the city of Malaga (Spain), participated in the study. A comparative and predictive design was used to carry out this research. The instruments used for the evaluation were the Tanita BC-601 Body Composition Monitor, the Eurofit Physical Condition Test Battery, the D2 Test of Attention, the WISC-IV Symbol Search and Coding tests, the General Self-Efficacy Scale (GSE), the General Health Questionnaire (GHQ-28), and the Satisfaction with Life Scale (SWLS). Analysis of variance (ANOVA), Kruskal-Wallis test, correlation analysis and linear regression were used to contrast the research objectives. The results indicated that adolescents who practiced more hours of physical exercise per week and were in better physical fitness achieved higher scores in selective attention, concentration, processing speed, general self-efficacy, self-rated health, and satisfaction with life. In addition, cardiorespiratory fitness was the physical fitness variable most closely related to and predictive of cognitive and psychosocial functioning. Cardiorespiratory fitness was predictor of all the variables analyzed, except the factor anxiety and insomnia (self-rated health), and life satisfaction that were predicted by horizontal jump measurements and fat mass, respectively. Thus, the study findings indicate that adolescents who practiced more weekly physical exercise and had a higher level of physical fitness scored better on the cognitive functioning and psychosocial tests evaluated. The data suggest that engaging in physical exercise and fitness in adolescence may be appropriate to improve health and well-being, contributing to better development at this stage.Copyright © 2020 Reigal, Hernández-Mendo, Juárez-Ruiz de Mier and Morales-Sánchez.