Alongside academic learning, there is increasing recognition that educational systems must also cater to students’ well-being. This study examines the key factors that predict adolescent students’ subjective well-being, indexed by life satisfaction, positive affect, and negative affect. Data from 522,836 secondary school students from 71 countries/regions across eight different cultural contexts were analyzed. Underpinned by Bronfenbrenner’s bioecological theory, both machine learning (i.e., light gradient-boosting machine) and conventional statistics (i.e., hierarchical linear modeling) were used to examine the roles of person, process, and context factors. Among the multiple predictors examined, school belonging and sense of meaning emerged as the common predictors of the various well-being dimensions. Different well-being dimensions also had distinct predictors. Life satisfaction was best predicted by a sense of meaning, school belonging, parental support, fear of failure, and GDP per capita. Positive affect was most strongly predicted by resilience, sense of meaning, school belonging, parental support, and GDP per capita. Negative affect was most strongly predicted by fear of failure, gender, being bullied, school belonging, and sense of meaning. There was a remarkable level of cross-cultural similarity in terms of the top predictors of well-being across the globe. Theoretical and practical implications are discussed.