Studies on well-being and its possible determinants are rare in the international literature, and almost non-existent in Brazil, particularly among youth. The present study focused on the epidemiology of well-being among adolescents belonging to a birth cohort. Well-being was measured using face-to-face interviews, with a question whose answer was based on a graphic scale of faces. 4,452 adolescents were interviewed. Approximately half (49.4%) classified themselves as very happy (face 1); this proportion was higher among girls than boys. Poorer adolescents were more likely than their wealthier peers to identify with the happiest face (number 1), but were also more likely to report moderate to low levels of well-being (faces 3-7). Body mass index was inversely associated with well-being. Among girls, physical activity was directly associated with well-being.