This study aimed at analyzing the effect of exercise on psychological well-being and social health of first grade high school students in Tehran with the mediating role of attachment to school and the use of social media. This applied research had a correlational design. The statistical population of the study comprised all first grade male junior high school students in Tehran. The sample was drawn through random cluster sampling method and the sample size was equal to 384 students. The research instruments included Social Media Use Questionnaire (Kim et al., 2017), Psychological Well-Being Scale (Diener et al., 2009), School Belonging Scale (Hurtado & Carter, 1997), Social Health Scale (Keyes & Shapiro, 2004), and Habitual Physical Activity Questionnaire (Baecke et al., 1982). Pearson correlation and structural equation modeling were used to analyze the data. Results indicated that moderator variable of the use of social media mediates the effect of exercise on psychological well-being and social health with effect coefficients of 0.17 and 0.17. In addition, moderator variable of attachment to school mediates the effect of exercise on psychological well-being and social health with effect coefficients of 0.22 and 0.23, respectively. Therefore, if schools use social media to engage students in school and out-of-school sports, this can enhance students’ engagement in school activities.