This cross-cohort longitudinal study examined changes in student well-being and the relationship between student well-being and educational choice during the COVID-19 pandemic. It compared two during-pandemic cohorts (spanning grades 5–9 from 2017 to 2021 and 2019–2023) to a pre-pandemic cohort (2015–2019), thus accounting for typical age-related trends and pre-pandemic cohort differences before isolating the pandemic’s impact. The study utilized data from the Danish Student School Well-Being Survey (N = 150,733), merged with administrative register data on students’ social background, academic achievement, and transition to upper secondary education. Key outcomes were school connectedness, academic self-efficacy, and educational choice. Results showed that both indicators for student well-being, namely academic self-efficacy and school connectedness, declined across all cohorts, with only minimal differences attributable to the pandemic. Academic self-efficacy and school connectedness in Year 9 were positively associated with an increased likelihood of choosing academic and vocational tracks over leaving the education system. Unexpectedly, the positive association between academic self-efficacy and academic track choice weakened during the pandemic, while the association with school connectedness remained stable. Decomposition analyses showed that academic self-efficacy and school connectedness consistently explained part of the difference in academic track choices between students from different family backgrounds, with little pandemic impact. The findings suggest that studies overlooking typical age-related trends and long-term pre-pandemic trends may have overstated the pandemic’s negative effects. In contrast, our results accounting for these effects, indicate negligible pandemic impacts on academic self-efficacy and school connectedness, and no substantial shift in how they mediate the relationship between family background and educational choice. The results highlight the importance of longitudinal cross-cohort data and the need to consider broader trends in adolescent well-being and educational inequalities.