Adolescents’ identity processes and their levels of well-being are likely to be intertwined. On the one hand, how adolescents cope with the core developmental task of forming their identity has important implications for their well-being. On the other hand, experiencing a condition of well-being can help adolescents consolidate their identity. This longitudinal study adopted a multidimensional and culturally sensitive perspective to unravel how identity processes (i.e., commitment, in-depth exploration, and reconsideration of commitment) in two domains (i.e., educational and interpersonal identity) were developmentally related to multiple indicators of positive well-being (i.e., physical health, subjective, psychological, and social well-being) in adolescents with different cultural backgrounds. Participants were 1396 adolescents (Mage = 15.73, SDage = 1.23, 49.93% females; 20.89% with a migrant background) who completed questionnaires at four-time points across one year. Results of cross-lagged models confirmed the positive reciprocal associations between identity commitment and well-being in all its facets. The nuanced picture of associations of in-depth exploration and reconsideration of commitment with multiple dimensions of well-being highlighted the importance of adopting a multi-dimensional perspective on well-being and a domain-specific approach to identity. Multigroup analyses indicated that the associations between identity commitment in the educational domain and well-being are relevant, especially for adolescents with a migrant background. Overall, this study highlights the centrality of identity processes for adolescents’ adaptation and points to a dynamic loop of reciprocal influences at the core of youth positive development.