This exploratory group-randomized study aimed at verifying (a) if a life skills program in physical education (PE) had a positive impact on physical fitness, sport skills, and executive cognitive function, and (b) if eventual physical and sport outcomes were mediated by gains in life skills and executive function. Ninety students aged 14–15 years participated in either an experimental life skills program integrated in a multisport PE setting, or traditional PE. Prior to and after the intervention, they were administered tests assessing physical fitness (aerobic and muscular), sport skills (passing and dribbling), and executive functions (inhibition and working memory updating). Furthermore, they were evaluated in goal setting knowledge, self-efficacy in sport-relevant life skills (problem solving, self-regulation, communication, and social skills), and decision making and tactical cooperation skills in sport game situations. The results showed that (a) the life skills program induced improvements in aerobic fitness, sport passing skill, and inhibitory executive function compared with the control group, and (b) fitness and sport skill outcomes were mediated by gains in life skills operationalized as behavioral change in decision making skill. Thus, life skills training in a designed sport education context seems beneficial to the fitness dimension of physical health and the cognitive dimension of mental health. Mechanisms underlying the physical and sport outcomes of the life skills training program may be cognitive in nature.