Physically active pupils may be better and more resilient learners. However, it is unclear whether walking or cycling to school yields similar educational and school-related mental health benefits as leisure-time physical activity. We examined the associations of active school transport and leisure-time moderate-to-vigorous physical activity with perceived academic performance, competency in academic skills, school burnout and school enjoyment. We included 34 103 Finnish adolescents (mean age 15.4 years; 53% girls) from the 2015 School Health Promotion study cohort. For the analyses, we used logistic regression, adjusting for major sociodemographic, environmental, lifestyle and physical activity covariates. Active school transport was positively associated with educational outcomes and school enjoyment, but not with school burnout. For example, compared with non-active transport, 10-30 min of daily active school transport was linked to 30% [odds ratio (OR) 1.30, 95% confidence interval (CI) 1.21-1.40] and 17% (OR 1.17, 95% CI 1.08-1.27) higher odds of high perceived academic performance and high reading competency, respectively. Leisure-time physical activity was robustly associated with all outcomes. For example, compared with the inactive, the most physically active adolescents had 86% higher odds of high perceived academic performance (OR 1.86, 95% CI 1.66-2.08), 57% higher odds of high competency in mathematics (OR 1.57, 95% CI 1.39-1.77) and 40% lower odds of school burnout (OR 0.60, 95% CI 0.52-0.69). Compared with active school transport, leisure-time physical activity was more strongly associated with educational and school-related mental health outcomes. Nevertheless, walking or cycling to school might lead to improvements in classroom performance and school enjoyment.