This study aimed to examine the association between physical activity and self-efficacy in adolescents. A school-based survey was conducted with 1,698 adolescents from Curitiba, Paraná State, Brazil. Physical activity was evaluated as weekly frequency (days per week) of moderate or vigorous physical activity. Self-efficacy was analyzed as the sum of a 10-item scale. The association between self-efficacy and physical activity was tested by Poisson regression (p < 0.05), stratified by gender. Among boys, only high self-efficacy was associated with all categories of physical activity (p < 0.001), while for girls moderate and high levels of self-efficacy were associated with all categories of physical activity (p < 0.001). In conclusion, self-efficacy showed a positive association with physical activity in adolescents, although the relationship was more consistent in girls. The finding is important for designing interventions to promote physical activity in this age group.