Purpose Assessing bidirectional longitudinal associations between early sexual behaviors (?16.0 years) and psychological well-being (global self-esteem, physical self-esteem, depression) among 716 adolescents, and the direct and buffering effect of parent–adolescent relationship quality. Methods We used data from Project STARS (Studies on Trajectories of Adolescent Relationships and Sexuality), a longitudinal study on adolescent sexual development in the Netherlands. Participants were 11.0–16.0 years old (mean age at T1?=?13.3 years). Self-reports from four waves of online questionnaires were used. Bidirectional longitudinal associations were assessed by linear mixed-effects models. Results At most waves, boys had significantly higher levels of psychological well-being than girls, but genders did not differ in experience with sexual behaviors. Engagement in early sexual behaviors did not predict lower levels of psychological well-being over time, and lower levels of psychological well-being did not predict more engagement in early sexual behaviors over time. Parent–adolescent relationship quality did not moderate these associations in either direction, although we found a significant direct effect, in which a higher-quality parent–adolescent relationship predicted more optimal levels of the three indicators of adolescents' psychological well-being (but not lower levels of early sexual activity) over time. Conclusions Our results show that, among Dutch adolescents, early sexual behaviors and psychological well-being were not interrelated. This may be explained by socio-cultural aspects of the Dutch society, such as more normalization of sexual behaviors during adolescence. As a result, early sexual activity in and of itself was not related to lower psychological well-being over time. Yet, cross-cultural differences in links between adolescents' sexuality and well-being should be further investigated.