The aim of this study was to investigate the cross-sectional and prospective associations between physical activity and body composition in adolescence. This is a prospective study, including 4,103 adolescents belonging to the Pelotas (Brazil) 1993 birth cohort, who were followed up at the mean ages of 11.3 and 14.7 years. Subsample analyses included 511 individuals with accelerometry and deuterium dilution data at 13.3 years. Sum of skinfolds at age 11.3 years was highly correlated with skinfolds at age 14.7 years (rho = 0.74, P < 0.001). More than 85% of participants remained in the same quintile or changed by not more than one quintile during the 3.4 year period. Tracking of physical activity was considerably lower, although still significant; the correlation was 0.24 (P < 0.001) and 61.4% of the adolescents moved one or less quintiles. In fully-adjusted models, no significant cross-sectional or longitudinal associations were found between physical activity and body composition, neither in boys nor in girls. These null results were confirmed in the 511 individuals with accelerometry and deuterium data. We provide evidence of tracking of physical activity and particularly body composition during adolescence. Our results do not support the hypothesis that physical activity and fatness are strongly related in adolescents.