The study of health-related quality of life (HRQoL) in children and adolescents has important implications in terms of policy, education, and health. Data on the time spent in physical activity (PA) and in sedentary activities in this population are worrying. We aim to analyze possible differences in HRQoL and PA levels between sexes and age groups in Spanish students aged between 8 and 14 years, as well as to assess the relationship between HRQoL and the frequency of PA in this population. A total of 3197 participants (1610 boys and 1587 girls) from 8 to 14 years old were recruited. Mquality and Mapping Child Health Utility instrument (Chu9d) were used as HRQoL indicators. A medium positive association between PA and HRQoL concerning the Spanish school population was found. HRQoL was higher among students aged 8 to 12 than 13 to 14. Moreover, when children start secondary education, both sexes seem to lose the quality of life. Similarly, PA decreases among girls over the years, although it seems to increase among boys. Thus, PA levels and HRQoL are directly associated in Spanish schoolchildren aged between 8 and 14 years. However, this HRQoL decreases in children over the years. Practical implications include the need to support education and physical activity programs to improve HRQoL in children and adolescents.