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(1) Background: Adolescent refugees in Lebanon and Lebanese youth are both at high risk of suffering from reduced psychological well-being. Sport is an evidence-based strategy for improving mental and physical health, and climbing is a type of sport that may positively impact both. The aim of this study is to test the effect of a manualized, psychosocial group climbing intervention on the well-being, distress, self-efficacy, and social cohesion of adolescents in Lebanon. In addition, the mechanisms behind psychological changes will be investigated. (2) Methods: In this mixed-methods waitlist-controlled study, we are allocating a minimum of 160 participants to an intervention (IG) or a control group (CG). The primary outcome is overall mental well-being (WEMWBS) after the 8-week intervention. Secondary outcomes include distress symptoms (K-6 Distress Scale), self-efficacy (General Self-Efficacy Scale; GSE), and social cohesion. Potential mechanisms of change and implementation factors are being investigated through qualitative interviews with a subgroup of 40 IG participants. (3) Conclusions: The results may contribute to knowledge of sports interventions and their effects on psychological well-being and will provide insights regarding low-intensity interventions for supporting adolescent refugees and host populations in conflict-affected settings. The study was prospectively registered at the ISRCTN platform (current-controlled trials). ISRCTN13005983.