This study examined whether physical activity is associated with better mental health and well-being among very preterm (≤32 weeks) and term born (≥37 weeks) adolescents alike or whether the associations are stronger in either of the groups. Physical activity was measured with accelerometry in children born very preterm and at term in two cohorts, the Basel Study of Preterm Children (BSPC; 40 adolescents born ≤32 weeks of gestation and 59 term born controls aged 12.3 years) and the Millennium Cohort Study (MCS; 45 adolescents born ≤32 weeks of gestation and 3137 term born controls aged 14.2 years on average). In both cohorts, emotional and behavioral problems were mother-reported using the Strengths and Difficulties Questionnaire. Subjective well-being was self-reported using the Kidscreen-52 Questionnaire in the BSPC and single items in the MCS. Hierarchical regressions with ‘preterm status × physical activity’-interaction effects were subjected to individual participant data (IPD) meta-analysis. IPD meta-analysis showed that higher levels of physical activity were associated with lower levels of peer problems, and higher levels of psychological well-being, better self-perception/body image, and school related well-being. Overall, the effect-sizes were small and the associations did not differ significantly between very preterm and term born adolescents. Future research may examine the mechanisms behind effects of physical activity on mental health and wellbeing in adolescence as well as which type of physical activity might be most beneficial for term and preterm born children.