Numerous studies showed that regular physical activity (PA) is associated with both favourable and restorative sleep and improved psychological functioning (PF). However, there is little research on the topic covering the early to mid-adolescence period. Moreover, curiosity and exploratory behaviour (CEB) and mental toughness (MT) as a result of PA remains thus far uninvestigated, as do possible gender differences. The aim of the present study was to explore the associations between PA, subjective sleep (sS), PF, CEB, and MT during early to mid-adolescence. A total of 1361 participants (mean age = 13.37 years; range: 11–16 years; 51.2% female) took part in the study. They completed questionnaires covering PA, sS, PF, CEB, and MT. Greater PA was related to improved PF, better sS, and increased CEB and MT. Compared to male participants, females reported less PA, poorer sS, and had lower PF and MT scores. The present pattern of results suggests that during early and mid-adolescence greater PA was associated with more favourable sS and better PF, including CEB and MT, and that female participants reported lower scores in PA, sS, and PF. Accordingly, if PA has a favourable impact on sleep and psychological functioning, then data suggest that sports participation should be more tailored to increase motivation among female adolescents.