Purpose in life, which is a central component of the eudaimonic paradigm of well-being, has been sparsely examined in adolescence. This is unfortunate as adolescence is characterised by identity development and is a key period for the onset of mental disorders. To inform future research on well-being and purpose in life in adolescents, we drew factors from several fields of research, including mental health and psychological factors, and explored which factors were most strongly associated with purpose in life. Data were collected in a sample of 444 Italian adolescents (Mage = 16.30 [SD = 1.50], range: 14 to 20 years; 58% girls) and associations with mental health (stress, anxiety, depression, anger), psychological traits (mindfulness, self-hate, self-inadequacy, self-reassurance, isolation), and sociodemographic variables (age, sex, place of birth) were examined. Regression, dominance, and network analyses indicated that a stronger sense of purpose in life was associated with lower depressive symptoms, higher levels of self-reassurance, and being born in Italy. Our findings suggest that purpose in life is an important asset for well-being in adolescents and may protect against depression. Future longitudinal and/or experimental research should examine the potential protective role of purpose in life in relation to adolescent depression and how self-reassurance and sociodemographic factors (e.g., immigrant background) are involved.