The objective of this study was to analyze the relationship between physical exercise and sport activities with respect to tobacco consumption in adolescents according to gender. A total of 845 adolescents (412 males and 433 females) between 14 and 17 years of age enrolled in compulsory secondary education in Murcia (Spain) participated in the study. The International Physical Activity questionnaire was administered to all of them to determine their physical activity patterns, also the Youth Risk Behavior Surveillance questionnaire was given to evaluate their smoking behaviors. The results show a significant relationship between physical exercise and sport activity and tobacco consumption. In addition, a clear gender difference was found on tobacco use. Among males, a positive and significant relation between practice of sports and physical activity and tobacco use was found; while no association between both variables was found among females. In conclusion, differences between men and women related to practice of physical exercise and sport and tobacco consumption are associated with the characteristics of the current models used to promote practice of sports as well as the different motivations among men and women to engage in physical exercise and sport activity.