Adolescence is a key developmental period marked by heightened emotional vulnerability where there is a need to document programs or activities that effectively promote social and emotional competencies (SEC). One of the main challenges is to foster adolescents’ adherence and active participation in educational interventions for mental health. The present controlled school-based intervention study aimed at testing the common and differential effects of three playful activities: improvisation theater, social and emotional board games, and mindfulness training. These were compared to a computer-based job seeking course control condition. Interventions were delivered to 292 students over 9 weekly sessions. Results from multilevel analyses showed that baseline anxiety moderated the effects of the interventions. For adolescents with moderate to high anxiety, participation in any of the three activities was associated with a protective effect against a decline in self-efficacy and an increase in emotional and behavioral difficulties, compared to the control condition. In addition, students who practiced improvisation theater showed significant improvements in two interpersonal social and emotional competencies: cognitive empathy and collaborative skills. These findings inform educational policies regarding the selection of activities or courses aimed at supporting adolescents’ social and emotional development, particularly for emotionally vulnerable students.