Physically active lifestyles are regularly associated with improved health and quality of life. Differences in lifestyles in society can partly be understood through the differences in the social and physical environment. This study examines the relationships between reported physical activity, and the extent of perceived support for physical activity in the physical and policy environment (e.g. facilities, programmes and other opportunities), and in the social environment. The data for the study come from a cross-cultural health policy study called MAREPS. In total, 3342 adults, 18 years or older, from six countries (Belgium, Finland, Germany, The Netherlands, Spain, Switzerland) were interviewed via telephone. Respondents were categorised as active or inactive according to self-reported physical activity. Social environmental factors and physical and policy environmental factors were also assessed. The analysis of the data was informed by social cognitive theory, although the study was not originally designed for this purpose. Sixty-eight percent of females and 70% of males were active. The proportions of active and inactive varied by countries to a great extent. The strongest independent predictor of being physically active was social environment. Those who perceived low social support from their personal environment (i.e. family, friends, school and workplace) were more than twice as likely to be sedentary compared to those who reported high social support from their personal environment. Specific knowledge of the programmes and actions for physical activity and sport was also a strong predictor of being active. A supportive physical and policy environment was not associated with participation in physical activity as strongly as had been anticipated. The variation between countries was stronger predictor of being active than the physical and policy environment variables. This study generates the hypotheses and raises the questions that in a preliminary way, there appears to be some relationships between aspects of physical and social environment and physical activity participation. However, future research is needed to refine and clarify this.