The purpose of this study was to examine how wellbeing is associated with the setting in which sport participation takes place and the breadth of sport participation. Demographic characteristics (age, gender, ethnicity, deprivation, (dis)ability status), recreational physical activity, and wellbeing were assessed in cohorts of adolescents (11–17 years) between 2017 and 2019 in Aotearoa, New Zealand. Better wellbeing was associated with participation in any sport vs. none (OR = 1.57, 95% CI = 1.30–1.90). Better wellbeing was also associated with participating in any coached sport training (OR = 1.48, 95% CI = 1.33–1.66), competitive sport (OR = 1.33, 95% CI = 1.18–1.49), social sport (OR = 1.33, 95% CI = 1.18–1.49), and uncoached sport training (OR = 1.16, 95% CI = 1.03–1.31) compared to non-participation in the given setting. Wellbeing was not associated with participation in physical education or solo sport. Participating in sport in three to five different settings (3 settings: OR = 1.21, 95% CI = 1.01–1.44; 4 settings: OR = 1.33, 95% CI = 1.09–1.62; 5 settings: OR = 1.37, 95% CI = 1.07–1.75) or sports (3 sports: OR = 1.25, 95% CI = 1.04–1.51; 4 sports: OR = 1.31, 95% CI = 1.06–1.61; 5 sports: OR = 1.33, 95% CI = 1.05–1.69) was associated with better wellbeing compared to participation in a single setting or sport, respectively. A balanced approach to participating across a variety of sport settings and sports that are facilitated by quality coaches may offer the largest additional wellbeing value.