Background: Although there are a vast array of studies which have demonstrated the psychological and physical health benefits of regular aerobic exercise for adults, few studies have focussed on children and adolescents. The current study examined associations between the extent of participation in endurance sport, and self-report data on self-image, physical and psychological health and overall lifestyle in a large representative sample of German high-school students. Method: Almost 1000 German adolescents (aged 14–18 years) were administered a comprehensive series of questionnaires aimed at assessing anxiety-depression, trait addiction, smoking and drinking behaviour, physical ill-health reports, and self-perception of self-image, parental acceptance and educational attainment. Results: Regular practice of endurance exercise was related to a more favourable self-image. There was a strong association between participation in sports and the type of personality that tends to be resistant to drug and alcohol addiction. Physical exercise was further significantly related to scores for physical and psychological well-being. Adolescents who engaged regularly in physical activity were characterised by lower anxiety-depression scores, and displayed much less social behavioural inhibition than their less active counterparts. Conclusion: It is likely that discussion of recreational or exercise involvement may provide a useful point of entry for facilitating dialogue among adolescents about concerns relating to body image and self-esteem. In terms of psychotherapeutic applications, physical activity has many additional rewards for adolescents. It is probable that by promoting physical fitness, increased physical performance, lessening body mass and promoting a more favourable body shape and structure, exercise will provide more positive social feedback and recognition from peer groups, and this will subsequently lead to improvement in an individual's self-image.