Background: Adolescents who rely on social aid networks tend to be more socially competent and enjoy higher levels of quality of life than those who interact only with their own limited groups of family and friends. In this light, the present study aimed to measure social capital and analyse its possible relation to adolescents’ quality of life. Methods: This is a cross-sectional analytical study with 363 adolescents from the Brazilian NGO. The instruments used included a short Portuguese version of the Integrated Questionnaire to Measure Social Capital (SC-QI) from the World Bank and its abbreviated Portuguese version from the World Health Organization Quality of Life Bref (WHOQoL-Bref) used to measure the quality of life. To measure social capital, the present study chose to use a segmentation analysis, along with the Two-Step Cluster method, applying Euclidian distance and the criteria of centroid aggregation. The Mann-Whitney test was used to compare the scores of WHOQoL-Bref domains among the clusters, at a significance level of 5%. Results: The segmentation analysis resulted in two clusters, with 160 (44.1%) adolescents classified as Low Social Capital (LSC) and 178 (49%) classified as High Social Capital (HSC). Participation in activities for the good of the community (p < 0.001), opinion regarding the differences between people in the community (p = 0.002), and number of community meetings (p < 0.001) constituted the decisive variables for determining the separation of the clusters. When quality of life among the newly formed clusters was compared, the highest average score in the HSC cluster was found in the Psychological Domain (75.4 ± 11.9), whereas in the LSC cluster, the highest average score was found in the Physical Domain (74.6 ± 12.6). Lower quality of life scores was found in the environmental domain for both the LSC clusters (51.3 ± 14.0) and the HSC clusters (54.7 ± 15.5). This difference proved to be statistically significant (p = 0.009). Conclusions: The results showed that adolescents with higher social capital also presented higher scores concerning quality of life. For the studied population, a positive relation between the two concepts was verified.