Emerging data indicate that higher levels of insulin resistance (IR) are common among children and adolescents and are related to cardiometabolic risk; therefore, IR requires consideration early in life. In addition, there is a lack of conclusive evidence regarding the role of dietary nutrients on IR. The Healthy Lifestyle in Europe by Nutrition in Adolescence Cross-Sectional Study (HELENA-CSS) was conducted in European adolescents aged 12.5-17.5 years. A total of 637 participants with valid homeostasis model assessment (HOMA) index data and who completed at least a 2 d 24 h dietary recall were included in the study (60% of the total HELENA-CSS sample). There were two dietary indices calculated, with the only difference between them being the inclusion or not of physical activity (PA). Markers of IR such as HOMA and the quantitative insulin sensitivity check index (QUICKI) were calculated. Pubertal status, BMI and cardiorespiratory fitness (CRF) were measured as potential confounders. The dietary index including PA was inversely associated with HOMA and directly with the QUICKI in females, but not in males, after adjusting for pubertal status, centre, BMI and CRF. In conclusion, the present study indicates that considering PA as part of the dietary index is of relevance as the resulted index is inversely related to IR independently of potential confounders including CRF. Overall, these findings suggest that intervention studies aimed at preventing IR in young people should focus on increasing the quality of the diet and also on including an optimal PA level in healthy adolescents.