Background: The lifestyle factors smoking and obesity have been associated with the risk of multiple sclerosis (MS). Physical activity (PA) may also be of importance. Objective: To examine the association between PA and MS risk in Italy, Norway, and Sweden and to evaluate the possible influence by established risk factors. Methods: In this case–control study, 1904 cases and 3694 controls were asked to report their average weekly amounts of light and vigorous PA during adolescence on a scale ranging from none to more than 3 hours activity. We used logistic regression to estimate odds ratios (ORs) and 95% confidence intervals (CIs) and adjusted for potential confounders. Results: Vigorous PA was inversely associated with MS risk in the pooled analysis ( p-trend < 0.001) with an age- and sex-adjusted OR of 0.74 (95% CI: 0.63–0.87) when comparing the highest and lowest levels. Adjusting for outdoor activity, infectious mononucleosis, body size, and smoking yielded similar results. The association was present in all countries and was not affected by exclusion of patients with early disease onset. Light PA was not associated with the risk of MS. Conclusion: Our findings suggest that vigorous PA can modify the risk of developing MS independent of established risk factors.