Adolescence is a critical period for the acquisition of health-related behaviors that will transcend later psychological well-being in adulthood. The present study presents a theoretical model whose objective is to analyze how physical activity predicts an adequate quality of life through self-concept and subjective happiness among adolescents. A total of 452 students aged 12 to 15 (M = 13.8; SD = 0.77) from four Compulsory Secondary Education institutes of the Autonomous Community of Extremadura participated, including boys ( n = 258) and girls ( n = 194). The students reported information on the following variables: physical activity, body mass index, self-concept, subjective happiness, and quality of life. The results show acceptable fit indices for the proposed theoretical model, which showed the importance of physical activity through self-concept and subjective happiness in quality of life: MRLχ 2 = 67.533, p < 0.05, CFI = 0.93, TLI = 0.90, SRMR = 0.05, and RMSA = 0.07. Likewise, the model presented a better fit index for males than females. This study draws conclusions on the importance of physical activity as a predictor of quality of life mediated by the perception of self-concept and mood in adolescents.