Background: Happiness is becoming increasingly relevant in recent research, including adolescents. Many studies are using the single-item measure for adolescent happiness, however, its validity is not well known. We aimed to examine the validity of this measure among adolescents in three countries from distinct European regions – Eastern (Lithuania), Southern (Portugal), and Western (Scotland). Materials and Methods: The analysis included data from Health Behaviour in School aged Children (HBSC) study from three countries and three last surveys (2009/10, 2013/14, and 2017/18). The total sample comprised 47,439 schoolchildren. For validity, the indicators reflecting subjective health, life satisfaction, quality of life, well-being, social support, health complaints, bullying, and self-directed violence were assessed. The calculations were conducted in the total sample and by gender, age, survey year, and country. Results: The different indicators of concurrent and convergent validity revealed consistent correlations with happiness, with better well-being, health, and subjective perceptions being related to higher happiness. Meanwhile, health complaints, bullying behaviors, and self-directed violence were related to lower happiness. The subgroup differences were consistent across gender, age groups, countries, and survey rounds. The extent of differences was more expressed among girls. Conclusion: The single item for adolescent happiness measurement features a consistent pattern of validity concerning indicators of concurrent and convergent validity. Higher self-reported happiness is associated with better mental and physical health and well-being, and less expressed negative factors (complaints, bullying, and self-directed violence). In addition, among girls the correlations tend to be stronger than boys.