BACKGROUND Adolescence is a critical time for the development of psychological well‐being. Weight gain and the emergence of body image concerns during this period can lead to the development of negative psychological states. To explore this issue, we examined the relationship between weight control behavior (WCB; ie, trying to lose, gain, stay the same, or do nothing about weight) and levels of depression and self‐esteem. METHODS Adolescents (508 boys, 502 girls; Mage = 12.32 ± .88 years) completed a survey that assessed WCB, depression, and self‐esteem. Descriptive discriminant analysis was used to analyze WCB group differences on psychological well‐being. Multivariate post hoc analysis further examined group differences. Structure coefficients indicated the relative importance of each dependent variable in boys and girls. RESULTS Results indicated that, among both sexes, WCB was significantly related to depression and self‐esteem. Individuals trying to lose weight had lower levels of psychological well‐being than the other groups. CONCLUSIONS Adolescents trying to lose weight reported the lowest psychological well‐being scores whereas those not doing anything to control weight reported the highest levels of psychological well‐being. These findings have important implications for screening and education programs designed to monitor and support adolescent psychological well‐being.