It has been suggested that group-level factors affect how perceived indoor air quality (IAQ) is associated with well-being. Therefore, we analysed how student-perceived social climate at the school level modified the student-level association between student-perceived unpleasant odour/stuffy air and well-being. The well-being indicators were seven self-reported anxiety symptoms (such as nervous, anxious, or on edge) and two somatic symptoms (headache and tiredness). We analysed a representative sample of Finnish school students (N = 678 schools, N = 71,392 students) by using multilevel modelling and testing cross-level interactions. At the student level, both unpleasant odour and perceived stuffy air were significantly but weakly associated with increased anxiety and somatic symptoms. At the school level, these IAQ indicators were significantly but weakly associated with increased anxiety and moderately with somatic symptoms. Furthermore, a good social climate at the school level modified the student-level association between perceived stuffy air and anxiety symptoms. Those students who reported stuffy air were more anxious if they studied in a school with poor social climate than good social climate. Our results provide robust evidence that group-level factors may differently modify the relationships between different IAQ indicators and components of well-being.