We aimed to assess the extent of socioeconomic differences in sport and physical activity among Italian adults. A secondary data analysis of a multipurpose survey carried out by the National Institute of Statistics in 2006 in Italy was performed. We found marked differences in the practice of physical activity and sport by socioeconomic position. Subjects with a higher educational level were more likely to be physically active, practising more frequently both sport and physical activity. The Odds Ratio (OR) of regular physical activity for the highest educated compared to the lowest educated males was 1.70 (95% Confidence Interval [CI]: 1.38, 2.08), and the OR of sport participation was 2.03 (95% CI: 1.51, 2.72). Among females, the corresponding ORs were 1.32 (95% CI: 1.08, 1.63) and 2.26 (95% CI: 1.51, 3.38). Similar differences in physical activity and sport were found in relation to occupation and material conditions. Almost all sports were more frequently practised by subjects of higher socioeconomic status. Socioeconomic differences in sport and physical activity may derive from economic or cultural barriers. Policies to reduce inequalities and ensure access to sport independently of socioeconomic position are strongly needed.