Much evidence has indicated that adherence to the 24 h movement guidelines (physical activity, screen time and sleep) is associated with physical health, while little is known about the adherence to the 24 h movement guidelines and self-reported physical fitness in adolescents. This study, therefore, aims to explore the association between the 24 h movement guidelines (in isolation or combination) and self-reported physical fitness in a sample of Chinese adolescents in an age range of 10–17. Methods: A convenient sample of 3807 children and adolescents from 12 schools was adopted in the present study. A questionnaire based on the Health Behaviour in School-aged Children was used to assess physical activity and screen time, and the Pittsburgh Sleep Scale was utilized to measure sleep duration. The International Fitness Scale was used to assess physical fitness in study participants. Ordinal logistic regression was performed to estimate the association between adherence to the 24 h movement guidelines and self-reported physical fitness. Results: Of all study participants, 0.9% of them met the 24 h movement guidelines, and meeting the guidelines was significantly associated with higher levels of self-reported physical fitness. The analysis for the association between specific combinations of 24 h movement guidelines and self-reported physical fitness underscored the importance of meeting the physical activity recommendations. Conclusion: Adherence to more recommendations contained in the 24 h movement guidelines was associated with higher self-reported physical fitness, especially cardiorespiratory fitness and muscular strength. Our study also stressed the importance of promoting moderate to vigorous physical activity in children and adolescents. Further works should focus on the association of a recommendation of adherence with other health indicators and replicate this study on larger samples among Chinese children and adolescents. Additionally, longitudinal or interventional studies that include more socio-demographic factors are needed to explore the association between 24 h movement guidelines and self-reported physical fitness, and the 24 h movement guidelines also should be promoted on a large scale in Chinese children and adolescents. Moreover, it is also needed to gain better insights into the directionality of the relationship between compliance with 24 h movement guidelines and self-reported physical fitness, as well as the mechanisms underlying the associations in Chinese children and adolescents.