The aim of the current study is to examine gender differences in the association of moderate to vigorous physical activity (MVPA) and sports participation with selected psychosocial dimensions, namely self-esteem, emotional intelligence (EI), social anxiety and life satisfaction. A total of 1054 adolescents (612 girls and 442 boys), aged between 12 and 18 years (M = 14.40, SD = 1.55), volunteered to participate in this study. Participants completed a set of self-report measures: the PACE+ (Prochaska et al., 2001), a single item (yes/no) sports participation, and Portuguese adapted and validated versions of the Rosenberg Self-Esteem Scale (Raposo & Freitas, 1999), the Wong and Law Emotional Intelligence Scale (Rodrigues et al., 2011), the Social Anxiety Scale for Adolescents (Cunha et al., 2004) and the Satisfaction with Life Scale (Neto, 1993). Results showed that boys reported higher levels of MVPA and sports participation than girls. Among girls, MVPA levels were positively associated with the EI use of emotions dimension and life satisfaction, whereas boys' MVPA levels were positively correlated with self-esteem, others' emotional appraisal (EI), use of emotions (EI) and life satisfaction. Girls participating in organized sports showed higher levels of use of emotions (EI) and lower levels of social avoidance and distress in new situations than non-athlete females. On the other hand, boys who participated in organized sports reported better levels of self-esteem and EI use of emotions, than their counterparts. The present results indicate that the psychosocial outcomes of physical activity and sports participation differ by gender in a sample of Portuguese youth, with boys receiving more psychological benefits from an active lifestyle than their female peers.