<p>Previous studies have shown that adolescent depression, math anxiety, and academic engagement are closely related to subjective well-being. However, it is currently unclear how these factors, closely related to early adolescents’ academic development, interact with each other. Exploring the interrelationships among the above factors can help maintain early adolescents’ mental health and promote the positive development of their academic progress. Thus, this study utilized a cross-sectional design to examine the relationships between subjective well-being, depression, math anxiety, and academic engagement in a sample of 1,043 early adolescents (mean age = 12.19 years, <i>SD</i> = 0.81). After controlling for gender and age, the results showed that both depression and math anxiety were negatively and bidirectionally related to subjective well-being, and academic engagement also showed a negative bidirectional relationship with subjective well-being. Further analysis indicated that academic engagement mediated the relationship between depression (math anxiety) and subjective well-being, subjective well-being mediated the relationship between depression (math anxiety) and academic engagement, and depression (math anxiety) mediated the relationship between subjective well-being and academic engagement, with the mediating effects being substantial. Given the close relationship between early adolescents’ depression, math anxiety, academic engagement, and subjective well-being, it is crucial to address interventions related to math anxiety and academic engagement while preventing and alleviating depression, in order to avoid their involvement in a vicious cycle with early adolescents’ subjective well-being.</p>