The search for overarching factors involved in both sport and broader lifestyle and achievement domains may help to understand the early drop-out phenomenon. This study aimed to analyze the association between early sport drop-out and strategic learning skills, checking for the individual and joint role of nationality, school type, gender, age and sport habits. Six hundred and fourteen Italian and Spanish students aged 14–18 years completed two self-assessment questionnaires concerning physical activity, sports habits and learning strategies. Outcomes were analyzed with frequency analysis. Higher affective–motivational strategic learning skills were associated with lower drop-out rates in Italian but not Spanish students. In high schools with an enhanced sports curriculum, drop-out rates were negligible compared to other Italian and Spanish curricula. A lack of persistence in the same sport type was significantly associated with a higher drop-out rate in males but not in female students, who had overall higher drop-out rates. This study suggests that overarching personal skills, cultural characteristics and sports habits may independently and jointly contribute to sport drop-out. Specifically, affective–motivational learning skills may play a key role in sport persistence and in strategies tailored to drop-out prevention.