Problematic online game use (POGU) causes various negative effects on adolescent development. Thus, it is necessary to explore the influential factors and mechanisms of adolescent POGU. The present study examined the relationship between school belonging and adolescent POGU and its mechanisms. A sample of 958 secondary vocational school students completed self-reported measures of school belonging, emotional symptoms, physical exercise, and POGU. The results showed that school belonging negatively predicted emotional symptoms (including depression, anxiety, and stress), which in turn positively predicted adolescent POGU. Besides, the moderating role of physical exercise in the relationship between school belonging and depression was significant, and the moderating role of physical exercise in the relationship between school belonging and anxiety was marginal but significant. The magnitudes of the above relationships were smaller as physical exercise increased. Results provide suggestions to reduce adolescent POGU by enhancing school belonging and decreasing emotional symptoms.