Health complaints are increasing among adolescents and are recognized as a global public health issue. Health complaints are an indicator for subjective ill-being, but little is known about the relationship between sadness and other health complaints. The aim of this study was to investigate sadness and other health complaints among Swedish adolescents. A survey with a cross-sectional design was completed by adolescents (n = 1489, 15–17 years old) in the south of Sweden. A logistic regression analysis was used to analyze the relationship between sadness and other health complaints. The result show that sadness and other health complaints were common among adolescents, and sadness was related to health complaints (headache (OR: 1.58), sleeping difficulties (OR: 2.00), reduced appetite (OR: 1.43), tension (OR: 2.44), and concentration difficulties (OR: 2.75)). When adolescents express sadness or other health complaints it is important to reflect on what these complaints are an expression of, and take into account the body as physical and psychological intertwined. This might entail person-centered support that hopefully leads to an improvement in adolescents’ well-being. Future research that profoundly highlights adolescents’ existential health is needed.