This study examined the relationship between changes in physical activity and changes in smoking among adolescents. We prospectively examined smoking progression, physical activity, demographic factors, and covariates in 978 high school students participating in a longitudinal cohort study of the predictors of smoking adoption. We used latent growth modeling with the parallel processes smoking progression and physical activity as our method, with smoking progression measured as an ordered categorical variable. Results indicated that higher levels of physical activity reduced the odds of progressing to smoking or a higher level of smoking by nearly 1.5 (1.44; P < 0.05). No race differences were found. However, being male increased the odds of smoking progression by 1.32 (P < 0.05). Higher levels of physical activity may reduce the risk of smoking during adolescence. Youth smoking prevention initiatives should incorporate strategies to promote physical activity to prevent smoking experimentation and escalation.