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The environment is a central part of people’s life, identity and ability to maintain a sense of well-being and personal safety. The aim of this study is to investigate the feelings of safety/unsafety that arise from living in an urban environment and to link them with well-being and self-esteem during early and middle adolescence. Questionnaires were completed by 1637 students (809 males and 820 females) of an average age of 12.8. Previous studies have shown a significant relationship between sense of safety and gender. In contrast, we found no evidence to support the assumption that self-esteem decreases in middle adolescence and is lower in girls. Findings support the usefulness of a transactional approach to investigating adolescents’ sense of safety.