Adolescence is a life stage critical to the establishment of healthy behaviours, including physical activity (PA). Factors associated with the built environment have been shown to impact PA across the life course. We examined the sociodemographic differences in, and associations between, perceived neighbourhood walkability, PA, and body mass index (BMI) in South African adolescents. We recruited a convenience sample (n = 143; 13–18 years; 65% female) of students from three high schools (middle/high and low-income areas). Participants completed a PA questionnaire and the Neighbourhood Environment Walkability Scale (NEWS)-Africa and anthropometry measurements. Multivariable linear regression was used to examine various relationships. We found that, compared with adolescents living in middle/high income neighbourhoods, those living in low-income neighbourhoods had lower perceived walkability and PA with higher BMI percentiles. The associations between neighbourhood walkability and PA were inconsistent. In the adjusted models, land use diversity and personal safety were associated with club sports participation, street connectivity was positively associated with school sports PA, and more favourable perceived walkability was negatively associated with active transport. Overall, our findings suggest that the perceived walkability of lower income neighbourhoods is worse in comparison with higher income neighbourhoods, though the association with PA and BMI is unclear.