Although physical activity has positive physical and mental health outcomes, particularly among adolescents, a significant percentage of young people maintain a largely sedentary lifestyle. Considering that the youths spend the greater part of the day at school, this is considered an ideal setting to foster active and healthy living. Consequently, this study is intended to investigate the connection between physical activity, self-efficacy and academic achievement in normal-weight and overweight adolescents. In total, 100 students (aged 14–15) from a public high school placed in the south of Italy were enrolled. They participated either in a 12-week classroom-based physical activity break program performed during science classes (60′/2 days per week) in which a nutritional educational program was carried out or in regular science lessons (60′/2 days per week). At the beginning and end of the intervention programs, a set of standardized motor evaluation tests (standing long jump test, Harvard step test, push up, sit and reach test), the scholastic self-efficacy test and the Amos 8-15 were administered. As a result, a meaningful Time × Group interaction for the self-efficacy variable and Amos 8-15 was observed in the intervention group. Specifically, they reported significant improvement in study skills, motivational factors, concentration and self-efficacy, as well as a decrease in anxiety and BMI (p< 0.001). No significant change was observed in the control group. The conclusions of this research underpin the notion that classroom-based physical activity break is a successful approach for enhancing students’ psycho-physical well-being, as well as academic achievement.