In the last decade, the migrant population in Chile has substantially increased, where the rates have not only increased in the adult population, but also among children and adolescents, creating a potential for social and cultural development in the educational system. The present work analyzes the relationship between self-concept, self-efficacy, and subjective well-being in native and migrant adolescents in Santiago de Chile. The sample consisted of 406 students, 56.65% women, with an age range that fluctuated between 12 and 16 years, with an average of 13.36 years (SD = 0.96). Student’s t-tests were used to compare the average of the constructs evaluated between natives/migrants and boys/girls participants. Subsequently, two multivariate models of simple mediation were constructed, one for natives and another for migrants, which assumed subjective well-being as a dependent variable, academic self-concept as an independent variable and the general self-efficacy as a mediating variable. In both models, gender was considered as a control variable. Results show that migrant students present higher levels of academic self-concept and general self-efficacy than native students. There are no differences with regard to well-being. In the case of gender, differences are observed only for the case of general self-efficacy, where boys present higher levels. On the other hand, a partial mediation is observed for the model of native students and a total mediation for the model of migrant students. The study yielded interesting results regarding the differences in the evaluation of the constructs of self-concept, self-efficacy, and subjective well-being in both groups. Such data can be used as inputs for the development of public policies for adolescents.