Physical activity improves peoples’ well-being and can help in preventing weight gain, obesity, and related non-communicable diseases. Promoting healthy behaviors in the daily travels and transport choices of adolescents is very important in early establishing healthy habits that imply routine physical activity. For designing and developing effective strategies, it is relevant to study adolescents’ preferences for physical activity and what factors in the social and environmental contexts affect their preferences. The paper investigates these aspects by means of a discrete choice experiment, using data from more than 4300 16–17 year-old adolescents in Italy. The results show that adolescents generally prefer walking for long time alone. However, females prefer cycling, while adolescents from lower educated families prefer motorized means of transport. Environmental factors affect the adolescents’ preferences: living nearby a green area is associated with more active and healthier choices in their short daily travels. Conversely, adolescents living closer to an industrial or high traffic area prefer to use motorized vehicles. Such findings have been discussed and policy implications presented, in order to support policymakers in designing cross-sectoral policies to promote healthy choices related to physical activity in adolescence.