Researchers in this study aimed to examine the effect of square dance on the subjective well-being of middle-aged and empty-nest women, as well as the potential moderating role of group belongingness in the relationship between family cohesion and subjective well-being. A total of 331 middle-aged and empty-nest Chinese women participated in a survey to measure their family adaptability and cohesion, group belongingness, general well-being, and square-dancing participation information. The results were found as follows: (a) Chinese middle-aged and empty-nest women’s family cohesion was positively associated with subjective well-being, and their group belongingness in square dance was positively associated with subjective well-being; (b) participation in square dance can be the moderator the relationship between family cohesion and subjective well-being; (c) group belongingness was found to be a moderator in the relationship between family cohesion and subjective well-being.