Schizophrenia spectrum disorders are associated with high morbidity and mortality in somatic diseases. The risk factors of this excess mortality include, e.g., obesity, dietary factors, and physical inactivity, especially after the onset of psychosis, but there are limited early developmental data on these factors in individuals who later develop psychosis. A population-based cohort study "Cardiovascular Risk of Young Finns" started in 1980 with 3596 children and adolescents from six different age groups (3, 6, 9, 12, 15, and 18 years). Cardiovascular health parameters, including questionnaire of physical activity before first hospitalization (≤18 years), were studied in 1980, 1983, and 1986. All psychiatric diagnoses of the participants were derived from the Finnish Hospital Discharge Register up to the year 2012. We identified diagnostic groups of non-affective psychosis (n = 68, including a schizophrenia subgroup, n = 41), personality disorders (n = 43), affective disorders (n = 111), and substance-related disorders (n = 49), based on Diagnostic and Statistical Manual of Mental Disorders, Fourth Edition (DSM-IV). Groups were compared with controls with no psychiatric diagnoses (n = 3325). Sex, age, body mass index, birth weight, non-preterm birth, and mother's mental disorders were included in the statistical model. Low physical activity in childhood and adolescence (9-18 years) independently predicted later development of non-affective psychosis. Lower physical activity index (relative risk 1.26 [1.1-1.5]), lower level of common activity during leisure time (relative risk 1.71 [1.2-2.5]), and non-participation in sports competitions (relative risk 2.58 [1.3-5.3]) were associated with a higher risk for later non-affective psychosis (expressed as increase in relative risk per physical activity unit). The findings were even stronger for schizophrenia, but no such link was observed for other diagnoses. The cause of low physical activity in premorbid/prodromal phase is likely to be multifactorial, including deviant motor and cognitive development. The results provide a rationale for including exercise and physical activity interventions as a part of psychosis prevention programs.