The aim of the present study was to examine how different domains of self-esteem (social, competence, affect, academic, family, and physical) relate to self-reported physical and mental health, lower back pain (LBP), smoking, and physical exercise in a sample of adolescents. A sample of 326 adolescents 14–19 years old completed several self-report questionnaires collecting epidemiological data, and information on their LBP, smoking, and physical exercise, the Short Form Health Survey (SF-36), and the Multidimensional Self-Concept Scale. Pearson’s correlations were calculated between their self-esteem scores and their physical and mental health scores. Three multivariate analyses of variance (MANOVAs) were performed to estimate associations between self-esteem and LBP, smoking, and physical exercise. Self-esteem (total and subcomponent scores) correlated positively with physical and mental health, and with physical exercise, and negatively with smoking. The results also confirm gender-related differences in self-esteem, in favor of boys. This study offers the first findings on the relationship between different domains of self-esteem and a variety of health outcomes in an adolescent population. The results suggest that multidimensional interventions could be devised to improve adolescents’ physical health by promoting their physical exercise, and to prevent their smoking by nurturing their self-esteem.