Among the various factors that could influence health-related quality of life (HRQoL) in adolescence, body mass index (BMI) seems to play a key role as a main anthropometric parameter. The aim of this cross-sectional study was to determine, in a sample of Italian adolescents, whether HRQoL is associated with the different weight status categories (underweight, normal weight, overweight, obese), according to BMI cut-off points for children, even considering sex differences. Data were collected from 1707 adolescents (n = 828 males) in seven schools. HRQoL was analyzed using the Italian version of KIDSCREEN-52. Males were more overweight and obese than females (13% vs. 10% and 4% vs. 2%, p < 0.05, respectively). In females, BMI categories are associated with physical well-being (p < 0.05), emotion/mood (p < 0.05), self-perception (p < 0.001), financial resources (p < 0.05), and bullying behavior (p < 0.05). In males, weight status is linked to physical well-being dimension (p < 0.001) and perception of self (p < 0.05). Our results may suggest that there is an association between weight status categories and HRQoL, more pronounced in females than in males. Interestingly, the weight status correlated more with the psychological dimension mainly in females, whereas in males, a stronger association between weight and physical status was observed, suggesting that given the complex, multifaceted, and dynamic nature of relationship between health-related quality of life and weight status in adolescents, multiple factors must be considered.