Purpose This study explores adolescent well-being during the first wave of the COVID-19 pandemic in two high-income countries from Europe and one middle-income country from South America. The aim is to investigate the correlates of different dimensions of subjective well-being in 10- to 16-year-olds from different cultural contexts. Methods An online, self-report questionnaire was completed by 1,613 adolescents in Luxembourg, Germany, and Brazil between May and July 2020. The outcome variables were measures of life satisfaction and emotional well-being during the COVID-19 pandemic. The study included a range of sociodemographic, interpersonal, and intrapersonal covariates. Data were analyzed using descriptive statistics and latent variable structural equational modeling. Results A two-factor model of subjective well-being, consisting of life satisfaction and emotional well-being latent constructs, fitted well with this sample data for Luxembourg, Germany, and Brazil. Results showed that gender, socioeconomic status, intrapersonal factors, quantity and type of schoolwork, and relationships with adults were important common predictors of individual differences in subjective well-being during COVID-19. Fear of illness emerged as the strongest correlate of emotional well-being across the three countries. Conclusions This study indicates that girls and adolescents from low-income homes may be especially vulnerable to negative secondary impacts of COVID-19 that can affect mental health. It identified several common correlates of subjective well-being in adolescents from different cultural settings, including factors that may be changeable, such as the following: the way adults listen to adolescents, schoolwork during distant learning, and fear of illness. Findings can inform the development of quality interventions for promoting the well-being of adolescents during a global pandemic.