This research aims to analyse the complex connections between students' engagement in extracurricular activities (ECAs), their sense of school belonging, and the cumulative effects on their psychological well‐being and academic performance. The results based on a sample of 892 students reveal that active engagement in ECAs does not influence students' academic outcomes directly. Instead, the benefits derived from ECAs primarily manifest in non‐academic spheres, particularly in enhancing well‐being. Moreover, ECAs yield positive psychological well‐being and academic performance only when students have a low sense of school belonging. At higher levels, the positive impact of ECAs diminishes, and it may even detrimentally affect academic performance. This study offers a different viewpoint to address the dilemma surrounding ECAs and practical implications in the development of institutional policies.