Health-related quality of life (HRQoL) is a multidimensional construct that encompasses physical, emotional, psychological, and social domains, according to an individual’s perception. Studies have indicated that lifestyle-related factors, such as engaging in physical activity (PA), reducing screen time (ST), and maintaining adequate sleep duration, may contribute to improved HRQoL in adolescents. The present study aimed to examine the associations of the 24 h movement behaviors (PA, ST, and sleep duration) with physical and psychological well-being, and HRQoL in adolescents. This study included 746 adolescents of both sexes, aged 11 to 15 years, enrolled in public schools. Sleep duration was assessed through a specific question related to habitual bedtime and wake-up time. ST was evaluated using a question regarding the daily time spent using recreational electronic devices. PA was measured using accelerometers (ActiGraph GT3X-BT). The KIDSCREEN questionnaire was used to assess physical and psychological well-being and HRQoL. Generalized linear models were used for statistical analysis. Significant associations were observed between meeting sleep duration recommendations and higher HRQoL scores (β = 1.05, 95% CI: 1.01–1.08), as well as psychological well-being (β = 1.07, 95% CI: 1.03–1.11). Additionally, adherence to ST recommendations was significantly associated with higher physical well-being scores (β = 1.07, 95% CI: 1.01–1.14). Concerning the combination of adherence to guidelines, meeting both sleep duration and ST recommendations was significantly associated with higher HRQoL scores (β = 1.08, 95% CI: 1.02–1.15), physical well-being (β = 1.11, 95% CI: 1.03–1.21), and psychological well-being (β = 1.09, 95% CI: 1.01–1.18). The findings of this study highlight the importance of adhering to the 24 h movement guidelines, which may contribute to improved adolescent well-being.