Background: Currently, adolescents grow up consuming a large amount of multimedia content and lead a sedentary lifestyle. As a result, emerging trends show greater feelings of loneliness. The present research seeks to describe adolescents’ attitudes towards Physical Education (PE), indices of loneliness and physical activity (PA) engagement. Further, it analyses associations between attitudes towards PE as a function of PA engagement and considers sex, loneliness and school year repetition as factors. Method: A sample of 2388 adolescents (43.3% males and 56.6% females) was recruited. Participants were aged 11–17 years (M = 13.8 years; SD = 1.2) and came from Spain. The following instruments were used: The Attitudes towards Physical Education questionnaire (AQPE) in order to analyze attitudes towards PE, and the University of California at Los Angeles (UCLA) loneliness scale to estimate loneliness. Results: With regard to sex and attitudes towards PE, significant differences were detected in relation to the difficulty of PE, with higher values being achieved in males (M = 2.4) than females (M = 2.3). A medium correlation emerged between the dimension of loneliness and the usefulness of PE (r = 0.323 **). Conclusions: It is confirmed that adolescents who experience greater levels of emotional or relational loneliness have less positive attitudes towards PE.