It is well understood that wilderness expeditions improve well-being; however, there is little supporting quantitative data. The aim of this study was to measure the impact of wilderness expeditions on self-esteem (SE) and connectedness to nature (CN) and assess whether benefits varied according to participant and expedition characteristics. SE and CN were assessed pre- and post-wilderness expeditions in 130 adolescents using Rosenberg's SE scale and the state CN scale. Two-way ANOVA revealed significant increases in SE and CN (p < 0.001) as a result of single expeditions. There was also an interaction effect of expedition and gender on SE (p < 0.05). Males had a higher SE at the start but female SE increased most. Linear regression revealed that living environment, gender, and the length and location of the expedition did not contribute to changes in SE and CN. Regular contact with natural environments will improve adolescent well-being, with the largest improvements in females.