Background: Although physical activity has been associated negatively with smoking in adolescence, the association is not well understood. Purpose: This study examines the relationship between adolescents' leisure time physical activity and smoking behavior; while considering BMI, weight concern, sense of coherence, and physically active self-concept as potential mediating and moderating variables. Method: Data were obtained through a postal survey among 3,940 Danes aged 16 to 20. Bivariate and multivariate logistic regressions were performed to identify significant associations as well as mediating and moderating effects. Results: In the bivariate model, leisure time physical activity was negatively associated with smoking; adolescents who were active at least one hour per week were up to half as likely to smoke as inactive adolescents. In the adjusted model, however; the association disappeared. Further analyses revealed that physically active self-concept acted both as a mediator and as a moderator of the studied relationship. Conclusion: The data suggest that participation in leisure time physical activity is indeed inversely associated with adolescent smoking, but only when physical activity is perceived as an important part of the self. Hence, interventions designed to promote physical activity among youth may also aim to boost physically active self-concepts.