Relationships among weight status (body mass index [BMI]), cardiorespiratory fitness (CRF) and objective measures of sedentary behaviour and physical activity (PA) were considered in a cross-sectional sample of Portuguese adolescents. The sample included 362 youth aged 13–16 years (165 males, 197 females) from urban and rural regions of the Portuguese midlands. CRF was assessed with the 20-m shuttle-run test. An uniaxial accelerometer was used to obtain five consecutive days of activity behaviours including time being sedentary. Pearson correlations and logistic regression analysis were used to examine relationships among variables. Rural adolescents were less active than their urban peers over the weekend. Both rural and urban youth with higher levels of CRF had a lower relative risk of being overweight/obese. The observations indicate important associations between weight status and CRF in both rural and urban Portuguese adolescents. In addition, place of residence has an important impact on weight status of this sample of adolescents.