(1) Background: Individuals have to effectively manage their physical activity in order to optimize the associated physical and psychological health benefits. Control competence allows the individual to structure and pace physical activity in a health-enhancing way. The concept was developed within a model of physical activity-related health competence, and is related to the concepts of health literacy and physical literacy. Therefore, the study firstly aimed to validate a self-report scale to measure the physical and psychological facets of control competence in adolescents. Secondly, relationships between control competence and its basic elements, knowledge and motivation, as well as between control competence, sport activity, and fitness, were investigated. (2) Methods: In two cross-sectional studies, ninth grade adolescents (study A: n = 794, 51% female; study B: n = 860, 52% female) were tested using self-report scales (study A and B), a test for health-related fitness knowledge (study B), and cardiovascular and muscular fitness tests (study B). (3) Results: Confirmatory factor analyses confirmed the two-factor structure of the self-report scale for control competence in studies A and B. In addition, the results of structural equation modeling in study B showed a relationship between motivation (via control competence) and sport activity, and a relationship between control competence and fitness. (4) Conclusion: The questionnaire extends the ability to assess control competence in adolescents. Moreover the findings support the importance of control competence in order to achieve health benefits through physical activity.