This study investigated the factors affecting adolescents' well-being during the COVID-19 pandemic from the perspectives of their participation in digital activities, emotional regulation, self-regulated learning, and parental involvement. Using self-reported data from 932 pairs of adolescents and their parents, we performed multiple-group structural equation modeling, which revealed that self-efficacy in online learning during school suspension was a key factor influencing adolescents' perceived worries after schools resumed. During school suspension, boys' cognitive-emotional regulation played a protective role in their well-being, helping them to avoid cyberbullying incidents, while girls' participation in leisure-oriented digital activities compromised their self-efficacy in online learning and led to cyberbullying incidents. Furthermore, improvement in parent-child relationships during school suspension encouraged adolescents to use more positive emotional regulation strategies, enhanced their self-efficacy in online learning, and reduced their leisure-time digital activities. The findings indicate that the effective regulation of adolescents' online behaviors, emotions, and self-efficacy, especially when combined with an emotionally secure family relationship, can ensure adolescents' well-being.