Previous studies have observed a link between gender and well‐being and health in young populations. The purpose of this research was twofold: (1) to analyse the cross‐sectional relationship between gender status with well‐being indicators and self‐perceived health in adolescents at baseline and at 2‐year follow‐up and (2) to evaluate the prospective associations between gender at baseline and well‐being indicators/self‐perceived health assessed at 2‐year follow‐up. Well‐being was measured using the KIDSCREEN‐10 questionnaire (as a measure of health‐related quality of life (HR‐QoL)), the Children's Hope Scale and the Positive and Negative Affect Schedule. Health status of the adolescents was assessed using self‐perceived health. Multilevel mixed‐effects linear/logistic regression models were carried out to assess the associations between gender status and well‐being and health of a sample of 1590 Spanish adolescents. Adolescent girls were shown to have lower HR‐QoL scores and higher negative affect scores, and had a higher risk of reporting poor health than boys, in both cross‐sectional and longitudinal analyses. Adolescent girls seem to be more vulnerable to poorer well‐being and self‐reported health than boys. When looking at hedonic and eudemonic well‐being separately, longitudinal differential evolution of boys and girls seems to indicate greater deterioration of hedonic well‐being among girls as compared to boys. Overall, gender may have a relevant impact on mental and physical health during adolescence.