Social media use is one of the most popular leisure activities among adolescents. Concomitant to this is a growing concern regarding problematic social media use and its relationship with health behaviors. To further increase the body of research into this phenomenon, our study explored the relationship between problematic social media use and physical activity levels, sleep peculiarities, and life satisfaction in Lithuanian children and adolescents. The study was conducted in April to June 2018 during the Health Behaviour in School-aged Children survey in Lithuania, a collaborative project of the World Health Organization. The sample comprised 4,191 school children (mean age 13.9 ± 1.69 years). The findings show that problematic social media use associates with about two times higher odds for worse sleep quality and lower life satisfaction. Problematic social media use was related to lower levels of vigorous physical activity in girls, but the possible effect on moderate physical activity was in boys and was inverse—boys with problematic social media use reported higher levels of moderate physical activity. Overall, in our study, girls with problematic social media use tended to have more negative health perceptions than boys. The results suggest that problematic social media use is an independent risk factor for negative health behaviors. This study adds to the accumulating knowledge that problematic social media use among adolescents may lead to worse health perceptions and, likely, further negative health outcomes.