Physical activity is influenced by individual, inter-personal and environmental factors. In this paper, we explore the variability in children’s moderate-to-vigorous physical activity (MVPA) at different individual, parent, friend, school and neighbourhood levels. Valid accelerometer data were collected for 1077 children aged 9, and 1129 at age 11, and the average minutes of MVPA were derived for weekdays and weekends. We used a multiple-membership, multiple-classification model (MMMC) multilevel model to compare the variation in physical activity outcomes at each of the different levels. There were differences in the proportion of variance attributable to the different levels between genders, for weekdays and weekends, at ages 9 and 11. The largest proportion of variability in MVPA was attributable to individual variation, accounting for half of the total residual variability for boys, and two thirds of the variability for girls. MVPA clustered within friendship groups, with friends influencing peer MVPA. Including covariates at the different levels explained only small amounts (3%–13%) of variability. There is a need to enhance our understanding of individual level influences on children’s physical activity.