The present research examined the association of Mediterranean diet adherence and physical activity with self-esteem through five components of health-related quality of life. Data were collected from 456 adolescents attending one of five schools in Granada, Spain using a cluster-randomised design. Participants completed questionnaires on Mediterranean diet adherence, physical activity, self-esteem and health-related quality of life (HRQoL). Models were constructed to identify associations between Mediterranean diet adherence and physical activity on self-esteem. Mediational analysis using bootstrapped confidence intervals examined possible mediation by five components of HRQoL. Mediterranean diet adherence and physical activity engagement were associated with four components of HRQoL: more positive physical wellbeing, psychological wellbeing, family relationships and autonomy support and perceptions of the school environment. Both lifestyle behaviours were positively associated with self-esteem. Both relationships were mediated through positive psychological wellbeing and perceptions of the school environment. Physical wellbeing was also a mediator of the relationship between physical activity and self-esteem. Conclusion: Interventions promoting Mediterranean diets or physical activity to adolescents may facilitate improvements in self-esteem in addition to wider health benefits previously identified. Approaches within such interventions targeting improvements in physical wellbeing, psychological wellbeing and positive perceptions of the school environment may improve their efficacy.