The present research is based on a large and representative national survey and intends to analyse the correlation of several leisure activities with risk, and with health and well-being outcomes. This work is part of the Health Behaviour in School-aged Children (HBSC) study, a collaborative WHO international study that aims to explore the school-aged children behaviour regarding health and risk behaviours in their life contexts. Participants were 8215 Portuguese adolescents, randomly chosen from those attending the 6th, 8th, 10th and 12th grades in 2018. The sample included 52.7% of girls and the mean age was 14.36 years old. Descriptive and comparative analyses were performed (ANOVAS and Chi-Square). The results of the present study suggested that several leisure activities, namely sports and social engagement activities (politic involvement and participation, religious activities, scouting and volunteer work), are associated with the adolescents’ well-being and life satisfaction. However, these types of activities can also be associated with an increase in substance use. However, some activities are also associated with risky behaviour. Identifying activities that promote well-being in young people can be important for professionals, families and public policies.