Rapid infant weight gain is a key risk factor for paediatric obesity, yet there is very little evidence on how healthy behaviours in childhood might modify this association. We aimed to examine how the association of infant weight gain with adolescent adiposity might be attenuated by moderate-to-vigorous physical activity (MVPA) in childhood. The sample comprised 4666 children in the UK Millennium Cohort Study. The two outcomes were BMI Z-score and % fat at 14 years. Sex-stratified regression models were developed testing for interactions between infant weight Z-score gain between 0 and 3 years (continuous or categorical) and MVPA at 7 years (continuous or binary). Models were sequentially adjusted for basic covariates, socioeconomic variables, and parental BMI levels. Effect modification was observed in boys but not girls and, among boys, was stronger for % fat than BMI. In a fully adjusted model for boys, the association between infant weight Z-score gain and adolescent % fat was 1.883 (1.444, 2.322) if MVPA < 60 min/day and 1.305 (0.920, 1.689) if MVPA ≥ 60 min/day; the difference between these two estimates being -0.578 (-1.070, -0.087). Similarly, % fat was 2.981 (1.596, 4.367) units higher among boys who demonstrated rapid infant weight gain (+0.67 to +1.34 Z-score) compared to normal weight gain (-0.67 to +0.67 Z-scores), but having MVPA ≥ 60 min/day reduced this effect size by -2.259 (-3.989, -0.535) units. In boys, ~75% of the excess % fat at 14 years associated with rapid infant weight gain was attenuated by meeting the MVPA guideline. In boys known to have demonstrated rapid infant weight gain, increasing childhood MVPA levels, with the target of ≥60 min/day, might therefore go a long way to towards offsetting their increased risk for adolescent obesity. The lack of effect modification in girls is likely due to lower MVPA levels.