Great thinkers, philosophers, scientists, and artists from History have often been concerned about one of the most important elements of life: happiness. The study had four goals: (1) To analyze possible differences in feelings of happiness as a function of sex and age; (2) To explore the relations of happiness with risk factors (psychopathological symptoms, behavior problems) and protective factors (self-concept-self-esteem, cooperative behavior, social skills) for health; (3) To identify predictor variables of happiness; and (4) To explore whether self-esteem mediates the relationship between happiness and psychopathological symptoms. The sample comprised 286 adolescents (14–16 years old). The study used a descriptive, correlational, and cross-sectional methodology. Seven assessment instruments were administered. The ANOVAs confirm that there are no sex differences, but happiness decreases as age increases. Pearson coefficients show that adolescents with more feelings of happiness had fewer psychopathological symptoms (somatization, obsession–compulsion, interpersonal sensitivity, depression, anxiety, hostility, phobic anxiety, paranoid ideation, psychoticism…), fewer behavioral problems (school-academic, antisocial behavior, shyness-withdrawal, psychopathological, psychosomatic), high social adaptation, high self-concept/self-esteem, many cooperative behaviors, many appropriate social skills, and few negative social skills (inappropriate assertiveness, impulsiveness, jealousy-withdrawal). Multiple regression analysis identified five variables predicting happiness: high self-concept, few symptoms of depression, many cooperative behaviors, high self-esteem, and low psychoticism. Results showed a partial mediational effect of self-esteem in the relation between happiness and psychopathological symptoms. The discussion focuses on the importance of implementing programs to promote feelings of happiness, as well as protective factors for health (self-esteem, cooperation…).