Background: Physical activity benefits adolescent health and well-being, known holistically as social and emotional well-being (SEWB) to Aboriginal people. However, little is known about the associations between physical activity and SEWB among Aboriginal adolescents. The “Next Generation: Youth Well-Being (NextGen) Study” is a cohort study of Aboriginal people aged 10–24 years in Australia. We aimed to examine associations between physical activity and SEWB, and cultural engagement and community connection among NextGen participants. Methods: Prior to recruiting participants, partnerships and relationships were developed with Aboriginal community organizations. Participant recruitment and self-reported data collection through questionnaires using established tools were led by Aboriginal youth peer researchers. Logistic regression estimated odds ratios for engaging in higher levels of physical activity (3–7 d vs 0–2 d) according to SEWB, culture, and community factors; models were adjusted for sex, age, and state/territory. Results: Of 1154 adolescents, 517 (45%) engaged in 3 to 7 days of physical activity. Factors associated with higher odds of physical activity were having good to excellent self-rated health; higher resilience; a lower risk Strengths and Difficulties Questionnaire score; regular community group/club participation, team sport, individual sport, or church/religious activities in the past 12 months; and perception of activities for young people to do in their community. Conclusion: Physical activity participation was favorably associated with a holistic range of measures of adolescent health and well-being. These findings provide valuable insights for Aboriginal adolescent program and policy design and delivery. The follow-up of participants in this cohort study will allow for examination of causal associations.