Participation in physical activity and exercise have been described as one of the best way to maintain health and well-being of the individual. The study examined how school adolescents in Osun State, Nigeria value participation in physical activity and exercise and its relationships to their health and well-being with selected indices of healthy living. The selected indices of healthy living examined in the study are physical, social and emotional health. The researchers used simple random sampling technique to select eighteen (18) different schools in target area for the study. The instrument used for the study is standardized questionnaire, and re-tested with reliability coefficient value of 0.793. Data is collected from seven hundred and twenty (720) students selected through simple random technique and seven hundred (720) questionnaires which were properly filled and returned later subjected to analysis. The conclusion made from the study is that, for adolescents to be healthy is to live an active lifestyles. Based on the findings, recommendations that could promote adolescents participation in exercise are recommended.