Researchers investigating relationships between the neighbourhood environment and health first need to decide on the spatial extent of the neighbourhood they are interested in. This decision is an important and ongoing methodological challenge since different methods of defining and delineating neighbourhood boundaries can produce different results. This paper explores this issue in the context of a New Zealand-based study of the relationship between the built environment and multiple measures of physical activity. Geographic information systems were used to measure three built environment attributes—dwelling density, street connectivity, and neighbourhood destination accessibility—using seven different neighbourhood definitions (three administrative unit boundaries, and 500, 800, 1000- and 1500-m road network buffers). The associations between the three built environment measures and five measures of physical activity (mean accelerometer counts per hour, percentage time in moderate–vigorous physical activity, self-reported walking for transport, self-reported walking for recreation and self-reported walking for all purposes) were modelled for each neighbourhood definition. The combination of the choice of neighbourhood definition, built environment measure, and physical activity measure determined whether evidence of an association was detected or not. Results demonstrated that, while there was no single ideal neighbourhood definition, the built environment was most consistently associated with a range of physical activity measures when the 800-m and 1000-m road network buffers were used. For the street connectivity and destination accessibility measures, associations with physical activity were less likely to be detected at smaller scales (less than 800 m). In line with some previous research, this study demonstrated that the choice of neighbourhood definition can influence whether or not an association between the built environment and adults’ physical activity is detected or not. This study additionally highlighted the importance of the choice of built environment attribute and physical activity measures. While we identified the 800-m and 1000-m road network buffers as the neighbourhood definitions most consistently associated with a range of physical activity measures, it is important that researchers carefully consider the most appropriate type of neighbourhood definition and scale for the particular aim and participants, especially at smaller scales.