Adolescence is a crucial stage in human development, and differences in psychological, physical and body composition variables between males and females have been amply demonstrated. However, the role played by certain healthy habits, such as the practice of physical activity, adherence to the Mediterranean diet (AMD) or the maintenance of an adequate weight status, in compensating for the differences found between males and females in these variables, is not well known. For this reason, the study aimed to analyze whether the practice of physical activity, optimal AMD, and adequate weight status can compensate for the differences between adolescent males and females in anthropometric variables, psychological state, and physical fitness. The sample was composed of 791 adolescents (404 males and 387 females) aged twelve to sixteen years old, whose anthropometric, psychological (autonomy, competence, relatedness, and life satisfaction), and physical fitness variables (cardiorespiratory fitness, upper strength and explosive lower limb power, hamstring and lower back flexibility, and speed) were measured. All measurements were carried out in a single day using the sports pavilion of the four participating schools. The most novel results of this research show that the practice of physical activity was determinant mainly in females, as it reduced the differences found in comparison with males in psychological (p < 0.001–0.045) and anthropometric variables (p < 0.001). Regarding weight status and AMD, these were still relevant for the adolescent population, mainly the achievement of optimal AMD, but males continued to present higher values in physical fitness tests (p < 0.001) and lower values in fat accumulation (p < 0.001), regardless of weight status or AMD. Thus, physical activity seems to be the most determining factor that compensates for the differences between adolescent boys and girls.