This study aimed to analyze the association between adolescents' physical activity and the Brazilian capitals' built and social environment. The units of analysis of this ecological study were the 26 capitals and the Federal District, with data from the National Adolescent Health Survey (2012). The outcome variable was the reported regular physical activity (PA) of ninth graders in Brazilian schools. Exposure variables included characteristics of the natural environment, socioeconomic and educational indicators, urban infrastructure, urban violence, and sociocultural factors retrieved from several secondary sources of Brazilian databases. We adopted multiple linear regression to verify the association between PA and exposure variables. The percentage of active adolescents was 33.0% (95%CI: 32.1; 33.9). In the final model, higher PA was associated with lower temperature, higher Primary Education Development Index, the higher percentage of ramps for wheelchair users, and a higher percentage of leisure-time active adults. The data show that climatic and educational factors, the infrastructure, and the social environment of the capitals can contribute to Brazilian adolescents complying with the recommended weekly PA levels.