The study analyzed associations between actual weight status and weight perceptions with personal resources, physical and psychological health, as well as physical performance among adolescents (N = 5,518; age: 11–17 years). Analyses are based on data from the German Health Interview and Examination Survey for Children and Adolescents (KiGGS). Self-report measures, parental reports, as well as objective test data were considered. Results indicate that weight perceptions, rather than actual weight status, were associated with personal resources, health, and perceived physical performance. Comparing groups, we found that adolescents who felt they had “just the right weight” achieved more favourable results than those who perceived themselves as “too fat”, regardless of their actual weight status. However, actual physical performance was predicted better by actual weight status. Furthermore, weight perceptions were found to mediate the link between actual weight status and all the assessed outcomes (personal resources, health, and physical performance). With respect to self-reports, the mediational effect was consistently stronger for girls, whereas the reverse was true regarding physical performance. Parental reports were not moderated by sex. Findings provide further evidence that among overweight adolescents there are subgroups that differ significantly with regard to risks and resources. Implications for practice are discussed.