Positive associations exist between physical activity and happiness in adolescents. However, previous studies have mostly used self-reported measures and cross-sectional designs. There is a need for more insight into the directionality and duration of this association. The current study was the first to investigate whether an increase in physical activity leads to happiness and whether adolescents become more physically active when they are happier. These two effects were studied between (on a day-to-day basis) and within days (on an hour-to-hour basis). The study used data from the MyMovez project in which 1484 adolescents between the ages of 8 and 17 years wore an accelerometer on their wrist and answered experience sampling questions on happiness at random moments during the day for several weeks in 2016–2018. The preregistered analyses demonstrated an association between physical activity and happiness. More specifically, the number of steps per day predicted the experienced happiness on that day. In addition, a short-term reciprocal effect of physical activity and happiness was observed. Happiness was predicted by the number of steps accumulated in the previous hour and it also predicted the number of steps accumulated in the subsequent hour. However, convincing evidence was found that these effects did not occur in the long-term between days. The number of steps on the previous day did not predict happiness, nor did happiness predict the number of steps of the subsequent day. This study confirms an association between physical activity and happiness in adolescents and shows that in the short-term, physical activity promotes happiness and vice versa. Therefore, we conclude that physical activity is not only important for the physical health of youth, but also plays an important role in their mental well-being. In addition, this knowledge can be used to further understand the importance of physical activity in adolescents’ health and help in promoting a healthy lifestyle among youth.