Background/Objectives: The literature on consumption of ultra-processed food (UPF) using the NOVA classification is still limited. Therefore, the aim of the present study was twofold: (i) to compare the UPF consumption, sedentary behaviors, and well-being perception between boys and girls; and (ii) to investigate the association between the UPF consumption and risk of overweight, sedentary behaviors, and well-being in adolescents. Methods: The present cross-sectional study comprised a sample of 245 adolescents (131 boys) aged 12–17 years-old (M = 14.20; SD = 1.09). Height and weight were assessed, and subsequently, the BMI was computed; furthermore, total body fat percentage was measured with bioelectrical impedance. Daily consumption of UPF was assessed by the NOVA screener and time spent sedentary was assessed by the Midlands Behavior Health 2024 questionnaire. The Mental Health Continuum-Short Form (MHC-SF) was used to measure adolescents’ psychosocial well-being. Pearson’s correlations and logistic regression analysis were used, controlling for biological, behavioral, and socio-economic confounders. Results: No sex differences were observed for the different UPF NOVA subscales. Boys reported higher computer use levels than girls on the weekend (p = 0.025), and they spent more time playing electronic games during the week (p = 0.005) and on the weekend than their female counterparts (p < 0.001). Moreover, boys reported higher scores in all well-being dimensions (p < 0.001) than girls. Conclusions: The findings revealed, after controlling for sex, sedentary time, and active behaviors, adolescents who consumed UPF on the previous day tended to be associated with a higher risk of being overweight, but also marginally without statistical significance (OR = 0.91, 95% CI: 0.83–1.01, p = 0.06). Of relevance, the present study revealed that both boys and girls of mothers with high educational levels were less likely to be classified as overweight or obese youth.