While numerous studies have examined correlates of physical activity, less attention has been given to identifying the rural/urban differences in the strength of the relationship between physical activity and health. The main objective of the current study was to analyze relationships between physical activity, sedentary behavior, and the health of rural and urban adolescents. Cross-sectional data on physical activity (Moderate-to-Vigorous Physical Activity, MVPA), sedentary behavior (watching TV and using a computer), self-rated general health, and mental health (General Health Questionnaire, GHQ-12) was assessed through a questionnaire in the sample of 600 Polish adolescents aged 13 years. Pearson χ2, t-Student tests and hierarchical regression analyses were used to compare differences by place of residence. No rural/urban differences in physical activity levels and self-rated health were found. Rural boys spent more time watching TV and urban adolescent males spent more time using a computer. Urban girls were more affected by stress than rural. Physical activity was an important predictor of self-assessed health (8% of variance) and mental health (4% of variance) of adolescents living in rural areas. The results show that physical activity level is an important predictor of rural adolescents’ health and particular attention must be paid to promoting physical activities in rural environments.