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The purpose of the current study was to examine the factor structure and measurement invariance of a scale measuring students’ perceptions of need-supportive teaching (Need-Supportive Teaching Style Scale in Physical Education; NSTSSPE). We sampled 615 secondary school students in Hong Kong, 200 of whom also completed a follow-up assessment two months later. Factor structure of the scale was examined through exploratory structural equation modeling (ESEM). Further, nomological validity of the NSTSSPE was evaluated by examining the relationships between need-supportive teaching style and student satisfaction of psychological needs. Finally, four measurement models—configural, metric invariance, scalar invariance, and item uniqueness invariance—were assessed using multiple group ESEM to test the measurement invariance of the scale across gender, grade, and time. ESEM results suggested a three-factor structure of the NSTSSPE. Nomological validity was supported, and weak, strong, and strict measurement invariance of the NSTSSPE was evidenced across gender, grade, and time. The current study provides initial psychometric support for the NSTSSPE to assess student perceptions of teachers’ need-supportive teaching style in physical education classes.