As adolescents spend many hours a day in school, it is crucial to examine the ways in which therapeutic practices in schools promote their well‐being. This longitudinal pilot study examined the contribution of school‐based psychodrama group therapy to the self‐concept dimensions and perceived loneliness of 40 Israeli adolescents (aged 13–16, 60% boys) in public middle schools. From a process–outcome perspective, we also examined the understudied trajectory of adolescents' in‐session behaviours (process variables) and its associations with changes in their self‐concepts and loneliness (outcome variables). Psychodrama participants reported increases in global, social, and behavioural self‐concepts and a decrease in loneliness compared to the control group. In‐session productive behaviours increased and resistance decreased throughout the therapy, but varied process–outcome relationships were found. The study suggests that conducting further research into the process–outcome relationships in psychodrama group therapy is warranted to pinpoint specific mechanisms of change. Suggestions for future studies are provided.