Adolescents perceive that they have digital well-being when smartphone use benefits outweigh the drawbacks in the social, cognitive, and emotional domains. Perceptions of digital well-being play a role in digital media effects, yet have received little research attention. This 1-year, three-wave panel study among 1,081 Slovenian adolescents investigated the reciprocal relationships between perceived digital well-being and self-esteem, with gender, parental education, and smartphone screen time as moderators. Random intercept cross-lagged panel models demonstrated a significant positive between-person relationship between perceived digital well-being in the emotional domain and self-esteem, but not for the social and cognitive domains. A positive, inconsistent within-person, cross-lagged relationship occurred between self-esteem and perceived digital well-being in the cognitive domain. Unstable differences occurred in the links between gender and the social domain and between smartphone screen time and the cognitive domain. These findings offer new insights into the debate on the effects of smartphone use.