Adolescence is characterized by profound changes in body and behavior, and not surprisingly during this developmental phase the risk of developing psychosocial problems increases dramatically. The purpose of the current study was to examine the relationship of both physical fitness and body composition with psychosocial health in adolescents (12–15 years). Data were collected in 2019–2020 in a representative sample of 361 Dutch adolescents (46.3% boys, age = 13.44 ± 0.43 years). Physical fitness and body composition were assessed by subtests of the Eurofit test battery assessing cardiorespiratory fitness (20 m Shuttle Run Test), muscular fitness (Broad Jump and Sit-Ups), speed-agility (10x5-m Shuttle Run Test and Fast Tapping Test), and body composition (Body Mass Index). Psychosocial health was assessed in four domains: self-concept (Competence Experience Scale for Adolescents), symptoms of depression (Child Depression Inventory), anxiety (State and Trait Anxiety Inventory) and ADHD (Strengths and Weaknesses of ADHD Symptoms). Multilevel regression analyses were performed in MLwin. Results showed that better cardiorespiratory fitness was related to better self-concept (β = 0.225; p < 0.001), less symptoms of depression (β = −0.263; p = 0.003), and lower levels of state (β = −0.239; p = 0.008) and trait anxiety (β = –232; p = 0.008). Furthermore, higher BMI was related to lower self-concept (β = −0.075; p = 0.019). Taken together, the results suggest that better cardiorespiratory fitness and lean body composition have a positive relationship with self-concept and that better cardiorespiratory fitness is related to less symptoms of depression and anxiety.