This study addresses the relationship between the use of video games and social–emotional learning in adolescents, in line with the Sustainable Development Goals (SDGs) of the United Nations, highlighting SDG 3 (Health and Well-being) and SDG 4 (Quality Education). The Video Game Experiences Questionnaire (VGEQ) was administered to 1146 high school students in Extremadura, Spain, aged 12 to 18 (M = 14.51; SD = 1.57). The VGEQ assessed dependence, negative consequences, and emotional experiences. The results highlighted significant gender differences, with men showing greater dependence and negative consequences related to video games than women. Furthermore, differences were observed by age, with more notable effects in late adolescents. A valuation was found between emotions such as unhappiness, fear, and anger and dependence and negative consequences. This study highlights the complex relationship between video game use, dependence, negative consequences, and emotions in adolescents, with important implications for the well-being and education of young people. Recognizing gender and age disparities underscores the need for a nuanced approach to addressing the social–emotional effects of video games in line with the United Nations SDGs 3 and 4.