In the context of physical activity and sport, perfectionism and the regular practice of physical activity are related to psychological well-being and the regulation of psychological resources necessary for adaptation to effort and satisfaction. At the same time, the most active students are also those who show greater appetites for physical education classes. The goal of this work was to identify the influence of perfectionist beliefs and the regularity of the practice of physical exercise on psychological well-being. The participants were adolescents (n = 436) aged between 14 and 19 years (M = 16.80, SD = 0.77). They were administered the Multidimensional Perfection Scale, the Psychological Wellbeing Scale, the Global Physical Activity Questionnaire (GPAQv2), and a sociodemographic questionnaire. The results showed, under a non-random and transversal design, that the participants gave important value to physical exercise because they feel both active and vigorous. Regarding perfectionism, the functional aspects of perfectionism (expectations of achievement and organization) correlated positively, while the dysfunctional aspects (fear of committing errors and external expectations) did so negatively with the importance given to physical exercise performed by adolescents; this in turn positively predicted psychological well-being. In this way, the hypothesized model contemplated the relevance of the included variables and reflected the mediation of the degree of importance given to the practice of physical exercise on perfectionist beliefs and psychological well-being. Currently, most physical activity practice proposals for adolescents focus on federated and structured environments for competition, and those that deal with recreational and health-oriented sports are far less common. Hence, “the perfect way of doing sports” for a teenager should be accompanied by cognitive schemes aimed at strengthening psychological resources that allow the regulation of beliefs, attitudes, and behaviors.