Physical activity, physical fitness and motor competence are important health-related constructs. However, the relationship among them, particularly for children and adolescents, is still unclear. In this study, motor competence (measured by the McCarron Assessment of Neuromuscular Development), pedometer-determined physical activity and physical fitness (aerobic fitness, muscle strength, muscle endurance, flexibility and body composition) were examined in a cohort of 1585 adolescents (771 girls, 814 boys) of mean age 14.06 years. Significant gender differences were observed for all measures except motor competence. Apart from hip and shoulder flexibility, males outperformed females. For both males and females, motor competence was associated with all fitness measures, physical activity was associated only with aerobic fitness and aerobic fitness was associated with physical activity, motor competence, BMI and chest pass. Among males, aerobic fitness was also associated with all other fitness tests. The correlations were, in general, moderate to weak. The results challenge the current focus on physical activity rather than physical fitness as the preferred intervention.