Objective To analyze the association between objectively assessed physical activity (PA) and markers of insulin resistance (IR) in European adolescents and to examine whether the association of objectively assessed PA and markers of IR is modified by cardiorespiratory fitness (CRF). Methods A cross-sectional study at school setting was conducted in 1053 (554 girls) adolescents (12.517.5 yr). Weight, height, waist circumference, total body fat, PA (accelerometry), and CRF (20-m shuttle run test) were measured. Fasting insulin and glucose concentrations were measured, and homeostasis model assessment as well as quantitative insulin sensitivity check index were computed. Results In males, vigorous PA (VPA) was negatively associated with markers of IR after adjusting for confounders including waist circumference (all p<0.05). In females, moderate PA, moderate to vigorous PA, and average PA were negatively associated with markers of IR after adjusting for confounders (all p<0.05). Moreover, when the sample was segmented by CRF levels all the PA intensities were significantly associated with the markers of IR in females with low CRF but not in those with middlehigh CRF after adjusting for confounders. Conclusions The findings suggest that PA is negatively associated with markers of IR after adjusting for confounders including total and central body fat in both sexes, but this relationship is modified by the CRF levels being especially important in those females with low CRF. Preventive strategies should focus not only on increasing the volume of PA but also on enhancing CRF through VPA.