Atherogenic index of plasma (AIP) is a novel biomarker related to cardiovascular disease (CVD). Cardiorespiratory fitness (CRF) and physical activity (PA) have an inverse relationship with the AIP, while sedentary time (ST) and fatness present a positive association. This study aimed to determine the combined and independent association of CRF, PA, and ST with the AIP, and additionally to establish the waist-to-height ratio (WHtR) mediation role. Data from the Chilean national health survey were used (4671 adults). A PACS (Physical Activity Cardiorespiratory Sedentary) score was created ranging from 0 to 3, indicating the number of positive recommendations met (PA, ST, and CRF). AIP was calculated (Log10 triglycerides/high-density lipoprotein-cholesterol). The combined analysis showed that compared to those with a PACS score of 0, those with a score of 1 or 2 did not present significantly reduced AIP values (adjusted by the WHtR); however, those with a score of 3 did (OR (odds ratio) = 0.50; 95% CI, 0.32 to 0.77; p < 0.001). Independent analysis showed that CRF seems to be the only variable that supports the combined result (β = −0.212; p < 0.001). Finally, the mediation analysis indicated that the WHtR mediated the association between CRF and the AIP in 34.2% of cases. Overall, only CRF had a significant and inverse association with the AIP. Nonetheless, around one-third of this beneficial relationship is affected by an elevated WHtR.