Research has paid growing attention to the contributions of strength-based parenting (SBP) to adolescents’ well-being. However, only a few studies exist concerning the underlying mechanisms involved. Drawing on social cognitive theory (SCT), this study aimed to examine the relations between SBP and adolescents’ well-being through the mediating role of personal best goals (PBGs). We administered an online survey to 268 (M = 16.27; SD = 1.25) Chinese adolescents in Macau and employed structural equation modeling (SEM) for the data analysis. The results indicated that SBP was positively associated with well-being (β = 0.49, p < 0.001), SBP was positively associated with PBGs (β = 0.39, p < 0.001), and PBGs were positively associated with well-being (β = 0.34, p < 0.001). PBGs partially mediated the relations between SBP and well-being. There was a significant indirect effect (0.05) of SBP on well-being via PBGs. This study deepens the current understanding about the influence of SBP on adolescents’ well-being. Also, it sheds light on the potential implications of SBP and PBGs in optimizing adolescents’ well-being in the Chinese context.