(1) Background: Adolescent well-being is a multifaceted construct embedded in family, school, and peer socialization contexts. By adopting a social-psychological perspective we test the association between three sources of support (parents, teachers, peers) and specific components of subjective well-being (cognitive, affective, global-and-domain-specific) to determine whether there is a functional specialization of the role that these crucial socialization agents play for adolescents to attain well-being in specific life domains. (2) Methods: Cross-sectional Albanian data from Wave 3 of the Children’s Worlds International Survey (www.isciweb.org) were used, including 2,339 adolescents (age range 9-13; girls = 49.3%). A structural equation model (SEM) was employed to explore associations between supportive relationships with parents, teachers, and peers and adolescent well-being. (3) Results: Findings support a functional specialization hypothesis as parental support was significantly related to global cognitive and affective well-being; teacher support was significantly related with school satisfaction; and significant relations were found between peer support and almost all well-being variables (context-free, domain-based life satisfaction and affective subjective well-being). (4) Conclusions: Findings contribute to a more nuanced understanding of the role of supportive relationships with adults and peers in adolescents’ proximal socialization contexts (family, school, peer groups) and specific components of subjective well-being.