Safety is considered an important aspect of life and well‐being. However, few studies have examined the relationship between safety and well‐being among children, especially in Latin American. This study aims at analyzing the relationship between perceptions of safety and children's subjective well‐being, considering children's school, city context, and sex. Participants were 2,200 Brazilian children (10–13 years old) who answered the single item on Overall Life Satisfaction, the Satisfaction With Life Student Scale, and four items regarding safety perceptions. Through analysis of variance and structural equation modeling (SEM), results indicate that children who live in inner cities and study in private schools have significantly higher averages of safety perception. Also, boys present higher averages about how safe they feel. SEM presents a positive and significant relationship between safety perception and children's subjective well‐being and multigroup SEM indicates invariance of the model across groups. Safety is presented as an important component of well‐being. Interventions aimed at promoting safety and community ties can enhance children's well‐being.