The aim of this cross-sectional study was to investigate associations between physical activity, stress, and happiness, as well as possible sex and age differences on these variables in a survey of 1,508 adolescent pupils (13 to 18 yr.) in middle Norway. Adolescents who reported they participated in physical activity 2 to 3 times per week or more scored significantly lower on stress and higher on happiness than those who participated in physical activity 1 day per week or less. There was no significant difference on stress and happiness between those being physically active 2 or 3 times a week and those being active almost every day. There was no sex difference in physical activity frequency. Girls had higher mean scores on stress, and boys scored higher on happiness. Adolescents 15 to 16 years old showed higher stress scores than those 17 to 18 years old, but there were no significant differences between the different age groups when looking at happiness and physical activity. A statistically significant two-way interaction of sex by age was found on both stress and happiness.