Improving people's well-being is a key way to meet people's needs for a better life, and is of great importance in resolving the major contradictions in Chinese society. In this study, we evaluated peer relationships and self-actualization as potential mediators between physical exercise and subjective well-being in a sample of Chinese middle school students. A total of 1056 middle school students from six middle schools in Sichuan, China volunteered to complete questionnaires comprising the Physical Activity Rating Scale, Student Peer Relationship Scale, Short Index of Self-Actualization, Positive and Negative Affect Scale, and Satisfaction with Life Scale. Descriptive statistics, Pearson's product-moment correlation, and structural equation modeling were conducted using SPSS statistics 19.0. and AMOS 21.0 statistical software. The results showed that peer relationships and self-actualization partially mediate between physical exercise and subjective well-being. The mediation analysis revealed two paths: first, the single mediating path via peer relationships [indirect effect = 0.091, 95% CI: (0.053, 0.132)] and second, the serial mediating path via peer relationships and self-actualization [indirect effect = 0.015, 95% CI: (0.008, 0.024)]. The study confirmed for the first time the serial mediating role of peer relationships and self-actualization between physical exercise and subjective well-being of middle school students. It was suggested that middle school students could improve their peer relationships during physical exercise, thereby increasing the level of self-actualization, which results in better subjective well-being.