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Considerable research has been conducted to advance our understanding of how environmental factors influence people’s health behaviors (e.g., leisure-time physical inactivity) at the neighborhood level. However, different environmental factors may operate differently at different geographic locations. This study explores the inconsistent findings regarding the associations between environmental exposures and physical inactivity. To address spatial autocorrelation and explore the impact of spatial non-stationarity on research results which may lead to biased estimators, this study uses spatial regression models to examine the associations between leisure-time physical inactivity and different social and physical environmental factors for all counties in the conterminous U.S. By comparing the results with the conventional ordinary least squares regression and spatial lag model, the geographically weighted regression model adequately addresses the problem of spatial autocorrelation (Moran’s I of the residual = 0.0293) and highlights the spatial non-stationarity of the associations. The existence of spatial non-stationarity that leads to biased estimators, which were often ignored in past research, may be another reason for the inconsistent findings in previous studies besides the modifiable areal unit problem and the uncertain geographic context problem. Also, the observed associations between environmental variables and leisure-time physical inactivity are helpful for developing location-based policies and interventions to encourage people to undertake more physical activity.