Introduction: Adolescents experience rapid physical, cognitive, and psychosocial growth with different factors contributing to health and well-being. In this view, an important role is played by body weight and related perceptions. The purpose was to determine, in a sample of Italian high school students, whether health-related quality of life (HRQoL) is associated with the different weight status categories (underweight, normal weight, overweight, obese), even considering sex differences. Material and methods: Data were collected from 1826 adolescents (n = 735 males). HRQOL was analyzed using the Italian version of KIDSCREEN-52. Results: Overweight adolescents showed reductions in psychological well-being (p < 0.05) and self-perception (p < 0.05) compared with individuals in other BMI categories. Subjects with obesity reported increased bullying victimization (p < 0.05) and reductions in self-perception and eating disorders (p < 0.001), while underweight individuals were characterized by altered adherence to the Mediterranean diet (p < 0.001), eating disorders (p < 0.001), and problematic use of social media (p < 0.05). No sex differences were found, except for socio-economic status perceptions, where underweight girls reported higher economic well-being than boys (p < 0.05). Conclusions: Our findings may suggest that there is an association between weight status categories and HRQoL that is more pronounced in underweight and overweight adolescents. The association between BMI categories and psychosocial dimensions opens the need to define specific domains on which such preventive interventions should focus, always through a personalized perspective.