Sedentary lifestyle and excessive alcohol drinking are major modifiable risk factors of health. In order to shed further light on the relationships between physical activity and health consequences of alcohol intake, we measured biomarkers of liver function, inflammation, lipid status and fatty liver index tests in a large population-based sample of individuals with different levels of physical activity, alcohol drinking and other lifestyle risk factors. The study included 21,050 adult participants (9940 men, 11,110 women) (mean age 48.2 ± 13.3 years) of the National FINRISK Study. Data on physical activity, alcohol drinking, smoking and body weight were recorded. The participants were classified to subgroups according to gender, levels of physical activity (sedentary, low, moderate, vigorous, extreme), alcohol drinking levels (abstainers, moderate drinkers, heavy drinkers) and patterns (regular or binge, types of beverages preferred in consumption). Serum liver enzymes (GGT, ALT), C-reactive protein (CRP) and lipid profiles were measured using standard laboratory techniques. Physical activity was linearly and inversely related with the amount of alcohol consumption, with the lowest alcohol drinking levels being observed in those with vigorous or extreme activity (p < 0.0005). Physically active individuals were less frequently binge-type drinkers, cigarette smokers or heavy coffee drinkers than those with sedentary activity (p < 0.0005 for linear trend in all comparisons). In the General Linear Model to assess the main and interaction effects of physical activity and alcohol consumption on biomarker status, as adjusted for anthropometric measures, smoking and coffee consumption, increasing levels of physical activity were found to be associated with more favorable findings on serum GGT (p < 0.0005), ALT (p < 0.0005 for men), cholesterol (p = 0.025 for men; p < 0.0005 for women), HDL-cholesterol (p < 0.0005 for men, p = 0.001 for women), LDL-cholesterol (p < 0.03 for men), triglycerides (p < 0.0005 for men, p < 0.03 for women), CRP (p < 0.0005 for men, p = 0.006 for women) and fatty liver index (p < 0.0005). The data support the view that regular moderate to vigorous physical activity may counteract adverse metabolic consequences of alcohol consumption on liver function, inflammation and lipid status. The role of physical activity should be further emphasized in interventions aimed at reducing health problems related to unfavorable risk factors of lifestyle.