Adolescents' mental health and academic performance are subjects of paramount interest. Previous studies have revealed a strong association between these constructs during school years. However, there is little evidence about the dual‐factor model of mental health, which includes a combination of psychological well‐being and distress indicators, and there is no clear consensus on the possible differences by sex. Therefore, the aims of this study were to analyze the association between the dual‐factor model of mental health and academic performance and to analyze sex differences in a sample of secondary school students. The sample was formed by a total of 265 adolescents (126 females) aged 13.9 ± 0.3 years old, from the DADOS study. Mental health status was self‐reported through the Behavior Assessment System for Children and Adolescents. Academic performance was assessed through academic grades and the Test of Educational Ability. The findings showed that the emotional symptoms index was negatively associated with academic grades. Psychological well‐being was positively associated with academic grades, while psychological distress was negatively associated with academic grades, except for anxiety. Stratified analyses by sex showed largely similar results. These results expand the current knowledge, supporting the idea that promoting mental health during adolescence could help to enhance academic grades.