We examined sleep difficulties among adolescents in Germany and the association with physical activity (PA). Furthermore, we analyzed whether the association varied with the socioeconomic status (SES) among adolescent girls and boys in Germany. Using data from the German Health Interview Examination Survey for Children and Adolescents (KiGGS) study (Wave 2), 6599 adolescents aged 11 to 17 years were included in the analyses. We conducted sex-stratified logistic regression analyses. Dependent variables were unrecommended sleep duration (defined as a duration of sleep that does not meet the recommended duration), sleep-onset difficulties, trouble sleeping, and daytime sleepiness. Most adolescent girls and boys reported sleep difficulties. While no associations between PA and sleep difficulties were observed, a significant interaction between PA and SES was found for sleep duration in boys and daytime sleepiness in girls. Thus, adolescents with low SES had fewer sleep difficulties if they met the recommendation for PA, compared with those in other SES groups. In Germany, a large proportion of adolescents have sleep difficulties. We found that the experience of sleep difficulties varied according to PA, sex, and the family SES. Future sleep promotion programs should consider these differences.