Physical activity can prevent many organic and mental pathologies. For people living in extreme southern high-latitude environments, weather conditions can affect these activities, altering their psychological well-being and favoring the prevalence of seasonal sensitivity (SS). This study aims to determine the relationships between the practice of physical activity, seasonal sensitivity and well-being in people living in high southern latitudes. A cross-sectional study was conducted, using the Seasonal Pattern Assessment Questionnaire (SPAQ), applying a psychological well-being scale, and determining sports practice according to the recommendations of the World Health Organization (WHO) for the 370 male (n = 209; 55%) and female (n = 173; 45%) participants. The main results indicated that 194 people (52 ± 7.7 years) reported physical activity. High-intensity physical activity practitioners recorded a significantly lower proportion of SS. In terms of psychological well-being, an adverse effect was found between the Seasonal Score Index (SSI) and five subcategories of the Ryff well-being scale. In conclusion, those who perform high-intensity physical activity have a lower SS, and those who have a higher SS have a lower psychological well-being.