We examined the relation between physical fitness and psychological well-being in children ages 10–14 years (N = 222), and the potential moderation of this relation by sex. Participants completed a physical fitness assessment comprised of seven tasks and a diverse set of self-report well-being measures assessing depressive symptoms, loneliness, and competence. Peers reported on social status and teachers rated adaptive functioning, internalizing symptoms, and externalizing symptoms. Multiple regression analyses indicated a significant association between physical fitness and psychological well-being for both boys and girls. Higher levels of physical fitness were associated with lower levels of peer dyadic loneliness and fewer depressive symptoms; greater cognitive, social, and athletic competence; greater feelings of self-worth; and better teacher reports of adaptive functioning. An interaction between internalizing and sex indicated a significant and negative association between physical fitness and internalizing symptoms for males only. No other moderation effects by sex were observed. Results suggest that physical fitness is associated with a range of well-being indicators for both boys and girls in this age group.