Background Physical activity and cardiorespiratory fitness are closely related to health variables in adults, especially those considered to be among risk factors for cardiovascular diseases. The possible tracking of cardiovascular disease risk factors from childhood to adulthood makes it important to increase our understanding of the complex relationships between physical activity, cardiorespiratory fitness and cardiovascular risk factors early in life. Design A cross-sectional, school-based study on healthy children and adolescents, aged 9-10 years (295 girls, 295 boys) and 15-16 years (302 girls, 233 boys) was performed during a school year in Sweden and Estonia, as part of the European Youth Heart Study. Methods Total physical activity, and minutes spent in inactivity and activity of moderate or higher intensity were measured by accelerometry. A maximal ergometer bike test was used for estimation of cardiorespiratory fitness. The risk factors included blood pressure and fasting blood levels of insulin, glucose, triglycerides, total cholesterol and high-density lipoprotein cholesterol. Results Canonical correlations between physical activity and cardiorespiratory fitness versus cardiovascular disease risk factors showed significant associations in both age and sex groups (r(c)=0.46-0.61, P < 0.0001). The cardiorespiratory fitness was found to be the strongest contributor to these relationships. In girls high values of the physical activity variables were also associated with a favourable cardiovascular profile. Conclusions Cardiorespiratory fitness relates more strongly to cardiovascular risk factors than components of objectively measured physical activity in children and adolescents. Physical activity becomes more important in the 15-year-old adolescents, indicating that these modifiable lifestyle factors increase in importance with age.