The aim of this study was to examine the association between leisure time physical activity and psychological complaints among adolescents and to determine to what extent this association is mediated by individual and regional factors. Data from the 2005/06 Health Behaviour in School-aged children (HBSC) survey, composed of 106,319 respondents aged 11, 13 and 15 from 20 European countries was analysed. Multilevel modeling showed that individual factors (gender, age and family socioeconomic status) were significant mediators of the association between leisure time physical activity and psychological complaints. The mediating effect of individual factors differed in the magnitude of the association. Regional differences in this association were not found. The findings suggest that individual factors contribute in explaining the association between leisure time physical activity and psychological complaints among adolescents. Future research should examine country specific characteristics which may influence this association.