Though the positive association between a connection to the natural environment and well-being is well established, few studies have examined this association in children, and none have explored whether this relationship remains when accounting for other factors that affect well-being, such as social supports, attention, and empathic skills. The current study aims to address this gap. Data are drawn from the New South Wales Child Development Study (NSW-CDS) and comprise a representative sample of 26,848 children who completed a self-report survey of mental health and well-being when aged approximately 11 years. Multiple regression analysis indicated that, after adjusting for covariates (i.e., social supports, empathy, attention, socioeconomic status, and sex), connection to nature was positively, albeit weakly, associated with two indicators of well-being: self-satisfaction and prosocial behavior. Social supports had the strongest relationship with self-satisfaction, while empathy had the strongest relationship with prosocial behavior. Based on our findings, and that of previous research, we suggest that developing a connection to nature can slightly improve well-being and may complement or augment other well-being and education-based programs. Future research should examine whether the relationship between connection to nature and well-being is influenced by proximity to green spaces, experiences of nature, and age.