This study aims to explore associations between physical activity intensity and well-being (i.e., positive and negative affect) in adolescents. A secondary aim was to determine if associations were moderated by sex. Grade 8 students from 14 government-funded secondary schools in low socio-economic areas of Western Sydney (Australia) were assessed. Data from three timepoints (baseline, 7-8 months, and 14-15 months) were combined to increase the sample size. Physical activity was objectively assessed for 1-week at each timepoint using Actigraph accelerometers. Time (minutes/day) in light, moderate and vigorous physical activity was estimated. The short form Positive and Negative Affect Scale for Children was used to measure well-being. Quantile regression was used to analyse the data. A total of 3140 observations were collected from 1223 students (mean age at baseline: 12.9(0.54); 55.1% male). Light and moderate physical activity was not associated with well-being. Higher levels of vigorous physical activity were associated with more positive affect [β(SE) = 0.307 (0.06), p < 0.001], to an estimated vigorous physical activity turning point [Point(95%CI) = 36.48 min/day (31.39-41.59)]. Similarly, higher levels of vigorous physical activity were associated with less negative affect [β(SE) = -0.250 (0.06), p < 0.001] up to the estimated vigorous physical activity turning point [Point(95%CI) = 37.35 min/day (31.27-43.44)]. The negative association between vigorous physical activity and negative affect was more pronounced in females than in males. Our findings highlight the importance of adolescents engaging in vigorous physical activity to improve positive affect and reduce negative affect.