It is widely proven that being physically active and avoiding sedentary behaviour help to improve adolescents’ well-being and keep them in better health in general. We aimed to investigate the relationship between modes of transport to school and subjective complaints among schoolchildren. Analyses were based on the HBSC (Health Behaviour in School-aged Children) surveys conducted in 2017/18 in nine countries (N = 55,607; mean age 13.43 ± 1.64 yrs.). The main outcome showed that health complaints consisted of somatic and psychological complaints. Transport to school was characterized by mode of getting there (walking, biking, or another passive mode). A total of 46.1% of students walked and 7.3% cycled to school; 46.6% commuted by passive means. Biking to school was more frequent in Denmark (37.9%), Norway (26.5%), and Germany (26.6%). The multivariate generalized linear model adjusted for age, gender, country, and school proximity showed that biking to school is protective against reports of health complaints. The beta parameters were equal to −0.498 (p < 0.001) for the general HBSC-SCL index, −0.208 (p < 0.001) for the somatic complaint index, and −0.285 (p < 0.001) for the psychological complaints index. Young people who actively commute to school are less likely to report health complaints, especially psychological symptoms.