We investigated the effects of perceived parenting styles, causal attributions for academic success/failure, and perceived school performance (PSP) on adolescents’ psychological well-being (PWB). Participants were 200 Brazilian adolescents who answered the Parenting Styles & Dimensions Questionnaire, the Psychological Well-Being Scale, and the Rating Scale of Causal Attributions for Academic Success/Failure (RSCA). The results showed that adolescents’ PWB was predicted by authoritative parenting style (APS), internal and controllable attributions (appropriate motivations to cope with academic success/failure; ICASF), and PSP. In addition, we tested a mediation model showing that the ICASF mediated the relationship between APS and PSP, which in turn led to better PWB. These results highlighted the relevance of parenting styles and school-based causal attributions for the understanding of adolescents’ mental health. Our findings can support interventions that enable more effective teaching–learning processes, which are associated with higher levels of mental health for the adolescent population.