Background: The present study investigates the role of different sources of social support in the relationship of BMI and PA in an international sample of children and adolescents. Methods: Data included 170,211 adolescents (51.5% female), aged 10–16 (M = 13.6, SD = 1.64) from 37 European countries/regions and were retrieved from the 2013/14 Health Behaviour in School-aged Children (HBSC) international database. Results: PA levels in adolescents are lower for girls, decrease with age, and are lower for overweight and obese adolescents compared to underweight and normal-weight adolescents. Peer support and teacher support significantly predict PA (ORpeer = 1.11; ORteacher = 0.97) and vigorous PA frequency (ORpeer = 1.13; ORteacher = 0.94). Family support only affected vigorous PA frequency (OR = 1.03). Family support had a moderating effect on PA in overweight (ORfamily*BMI(overweight) = 0.94) and obese (ORfamily*BMI(obese) = 0.90) adolescents. Peer support had a moderating effect on vigorous PA frequency in obese (ORpeer*BMI(obese) = 1.08) adolescents. Teacher support had a moderating effect on PA (ORteacher*BMI(normal) = 1.05; ORteacher*BMI(overweight) = 1.09) and vigorous PA frequency (ORteacher*BMI(normal) = 1.07; ORteacher*BMI(overweight) = 1.08) in normal-weight and overweight adolescents. Conclusion: Social support helps adolescents to be active. Especially for obese adolescents, support by and relations with peers are important to reach a significant amount of PA.