The overall aim of this study was to examine the association of physical activity (PA) and screen time (ST) on indicators of cardio-metabolic risk during adolescence, by examining the combined association of PA and ST at ages 11, 15 and 18 on cardio-metabolic risk factors at 18 years. Data from the 1993 Pelotas (Brazil) Birth Cohort Study (N = 3613) were analysed in 2017. Self-reported PA and ST data were collected at 11, 15 and 18 years. Cardio-metabolic risk factors (fat mass index, waist circumference, triglycerides, blood glucose, non-HDL cholesterol and resting diastolic blood pressure) were examined at age 18. Multivariate linear regression was used to examine the associations between four mutually exclusive PA/ST groups: 1) active (≥1 h/day PA) and low ST (<5 h/day ST); 2) active (≥1 h/day PA) and high ST (≥5 h/day ST); 3) inactive (<1 h/day PA) and low ST (<5 h/day ST); 4) inactive (<1 h/day PA) and high ST (≥5 h/day ST) at each age, and outcomes at age 18. There were no significant associations between PA/ST at ages 11 and 15 with outcomes at 18 years. In the cross-sectional analyses, adolescents in the most active group had significantly better levels of all the outcomes, regardless of ST. Inactive participants with high ST had the highest levels of glucose and non-HDL-C. For diastolic blood pressure, values were higher among inactive participants. Overall, higher levels of physical activity appeared to be more important than low levels of ST for cardio-metabolic health in adolescents.