Background and objectives: Adolescence represents a critical period for rapid psychophysical and socio-cognitive changes, with implications for health and wellbeing in later life. From this perspective, the manifestation of unhealthy lifestyles and dysfunctional behaviors may reflect a change in wellbeing requiring alertness and prompt intervention. This study investigated lifestyle behaviors and coping strategies among Italian adolescents, also in relation to the ongoing COVID-19 pandemic, and whether they would predict a change in subjective wellbeing. Materials and Methods: In the period between 1 April and 10 April 2020, adolescents aged 15–21 filled out an online survey consisting of 33 questions investigating socio-demographic characteristics, lifestyle behaviors, coping strategies, and subjective wellbeing. Results: Data was available on 306 participants. Most adolescents planned their daily routine (57.8%), engaging in structured activities (17.6–67.3%) and developing new interests (54.6%), and gave a positive reading of the ongoing period (57.8%), thus revealing adaptive coping strategies. Family wise, even though it was hard to stay at home (66%) and difficulties emerged, including self-isolation (50.7%) and quarrels (31.7%), a relevant proportion of adolescents shared their feelings (40.5%) and revaluated their family relationships (29.4–39.7%). In terms of social and school engagement, almost all adolescents kept contacts with their partner, friends, and teachers (90.2–93.5%). School commitments at home were sufficiently preserved (63.1%), however adolescents expressed preoccupations about their educational path (56.2%). A change in subjective wellbeing (49.3%) and symptoms of anxiety (39.9%) were frequently reported. A number of factors predicted a change in subjective wellbeing, including adaptive coping strategies (physical activity, OR = 2.609, 95% confidence interval (CI) 1.297–5.247; engaging in different activities than before, OR = 2.212, 95% CI 1.157–4.230), family issues (finding hard to stay at home, OR = 3.852, 95% CI 1.953–7.599; having quarrels, OR = 2.158, 95% CI 1.122–4.150), school-related behaviors (fearing a negative educational outcome, OR = 1.971, 95% 1.063–3.655), and female gender (OR = 3.647, 95% CI 1.694–7.851). Conclusions: Both personal and environmental coping resources are relevant to subjective wellbeing in adolescence and should be taken into account for prevention and early intervention in youth mental health.