Alpine sport is a popular form of exercise and provides several skills that are potentially relevant for positive development during adolescence. However, empirical data on differences between alpine and non-alpine sport participants in variables related to developmental changes are lacking. Therefore, the primary aim of the present study was to analyze differences in self-esteem and additional variables between adolescent alpine and non-alpine sport participants. A comparison to non-regular exercisers was conducted for self-esteem. In a cross-sectional design, information on self-esteem, sensation seeking, agency, and emotion regulation was collected in 183 adolescents [(mean age: 15.4 (SD: 2.3) years, 71.0% female)]. Alpine sport participants reported significantly higher self-esteem compared to non-regular exercisers, p = 0.003, d = 0.95, but not compared to non-alpine sport participants, p = 0.774, d = 0.06. When controlling for sex and high-risk sport engagement, alpine sport participants showed a significantly higher experience of agency compared to non-alpine sport participants, p = 0.016, d = 0.46. We conclude that alpine sport participation is less relevant with regard to self-esteem compared to regular exercise. However, the characteristics of alpine sport might provide a trigger for higher experience of agency during sport participation, potentially helping to satisfy the increased need for autonomy and independence in adolescence.