We investigated prospectively whether physical activity level in adolescence predicts use of alcohol and illicit drugs in early adulthood. We studied 4,240 individual twins (1,870 twin pairs). We classified those who consistently reported frequent leisure physical activity at ages 16, 17 and 181/2 as persistent exercisers, those exercising less than three times monthly as persistently inactive, and all others as occasional exercisers. To control for familial confounds, within-family analyses compared activity-substance use associations in co-twins discordant for baseline physical activity. Individual-based analyses showed no clear association between baseline physical activity and subsequent weekly alcohol consumption. However, weekly alcohol intoxication (OR = 1.9, p = .002) and problems due to alcohol use (OR = 2.0, p < .001) were more common among persistently inactive participants. After excluding those reporting weekly intoxication at baseline, the risk for alcohol intoxication remained elevated among women occasionally (OR = 2.4, p = .017) or persistently (OR = 5.8, p < .001) inactive at baseline, but this association was not replicated within discordant twin pairs. Individual-based analyses showed that drug use in adulthood was more common among those persistently physically inactive in adolescence (OR = 3.7, p < .001) in comparison to those persistently active. This finding was replicated within discordant twin pairs. Among those with no drug experience during adolescence, persistent inactivity (OR = 1.9, p = .007) increased risk for drug use. We conclude that persistent physical inactivity in adolescence may increase the risk of later problems due to excess alcohol use. Sedentary lifestyle predicts illicit drug use even when controlling for familial factors.