This study analyzed the importance of exercise frequency on eating disordered behaviors and psychological well-being and the ability of various exercises, individual, and psychological variables to predict eating disordered behaviors. The following characteristics were measured: eating disordered behaviors, dieting habits, physical activity, goal orientation, social physique anxiety, and self-esteem. The results showed that regular exercise was reported more frequently by males, those with high attraction towards exercise, and adolescents with fewer dieting behaviors. Moreover, adolescents who exercised regularly showed fewer eating disordered behaviors and had more positive psychological functioning. The results also confirmed the importance of various exercises, individual, and psychological variables in predicting eating disordered behaviors. In conclusion, this study validates the importance of regular exercise for promoting psychological well-being and preventing eating disordered behaviors in adolescence.