To explore the mechanism of perceived social support on the psychological adaptation of adolescents, this study investigated 895 adolescents from six middle schools (junior high and senior high) in the northwest region of China using the Perceived Social Support Scale, Psychological Adaptation Questionnaire, Just World Belief Scale, and Personal Control Scale. The results showed that perceived social support was significantly positively correlated with psychological adaptation (r = 0.529, P < 0.001), just world belief (r = 0.393, P < 0.001), and personal control (r = 0.387, P < 0.001). Regression analysis indicated that perceived social support could significantly positively predict psychological adaptation (β = 0.529, t = 18.217, P < 0.001), just world belief significantly positively affected psychological adaptation (β = 0.184, t = 5.948, P < 0.001), and personal control significantly positively affected psychological adaptation (β = 0.067, t = 2.127, P = 0.034). The results of the structural equation model showed that just world belief and personal control played a multiple mediating role between perceived social support and psychological adaptation (χ2 = 138.743, df = 38, χ2/df = 3.651, GFI = 0.973, AGFI = 0.953, CFI = 0.977, IFI = 0.977, NFI = 0.969, TLI = 0.967, RMSEA = 0.054). That is, perceived social support can not only directly influence the psychological adaptation of adolescents but also indirectly affect it through the simple multiple mediating effects of just world belief and personal control, as well as through the chain mediating effects of just world belief and personal control.