Physical activity (PA) is a key component of healthy development, not only physically but also psychologically. The aim of the present study was to measure PA levels and psychological well-being in adolescent females using a cross-sectional design, and to investigate the relationship between the two. Psychological well-being (self esteem and lack of depression, anxiety, and stress), PA, and established predictors of PA from the Theory of Reasoned Action (Fishbein & Ajzen, 1975; Madden, Ellen, & Ajzen, 1992; health consciousness, significant others, priority, perceived barriers, and attitudes) were measured using 148 adolescent females aged 16 to 18 years. Results show a link between depression and level of PA, and between anxiety and PA. Attitudes towards PA, priority of PA, and perceived barriers to PA were also related to levels of PA. However, there were no significant associations between psychological well-being and attitudes towards PA, even though psychological well-being may influence the actual level of activity. Positive associations between PA and psychological well-being in adolescent females encourage future studies into causal relationships between the two. The most effective strategies for increasing PA in middle to late adolescent females may be targeting perceived barriers to PA rather than attitudes.