Studies show that both low physical activity (PA) and adiposity are associated with a higher risk of hypertension. However, the relationship between PA and blood pressure in adolescents is controversial and other studies have reported that no association was observed. Of particular interest is the evaluation of whether the association between PA and high blood pressure is independent of adiposity. A sample of 3764 Brazilian adolescents who attend high schools was selected using random cluster sampling. Data were collected using the Global School-based Student Health Survey, anthropometry, and blood pressure readings. The prevalence of high blood pressure was 14.6% (95% Confidence Interval (CI) 13.5–15.7), higher amongst males (20.0%; 95%CI 18.0–22.1) compared with females (10.9%; 95%CI 9.7–12.3). Sixty-six per cent of the adolescents were reported to be insufficiently active. The prevalence of high blood pressure was 12.8% (95%CI 11.0–14.7) amongst active compared with 15.4% (95%CI 14.0–16.9) amongst insufficiently active adolescents. The association between PA and high blood pressure was observed only amongst females after adjusting for waist circumference (odds ratio (OR) 1.67; 95%CI 1.21–2.31) and body mass index (OR 1.71; 95%CI 1.23–2.37). Notwithstanding levels of adiposity, higher PA levels are associated with a lower prevalence of high blood pressure amongst females, although not amongst males.