Background: Unhealthy lifestyles among adolescents are reaching alarming levels and have become a major public health problem. This study aimed to assess the relationship between sleep time, physical activity (PA) time, screen time (ST), and nutritional literacy (NL). Methods: This cross-sectional online study involving adolescents aged 10–18 years was conducted in September 2020 in 239 schools in Chongqing, China. NL was measured using the “Nutrition Literacy Scale for middle school students in Chongqing (CM-NLS)”. According to the recommended by the Chinese dietary guidelines (2022), we divided the sleep time of junior high school students into <9 h and ≥9 h, high school students into <8 h and ≥8 h, divided the workdays into weekend PA time < 1 h and ≥1 h, and divided the workdays into weekend ST < 2 h and ≥2 h. The multinomial logistic regression model was used to examine the association. Results: A total of 18,660 adolescents (50.2% males) were included. The proportion of participants that were junior high school students and attended boarding schools was 57.2% and 65.3%, respectively. Compared with senior high school students, junior high school students had a higher level of NL. Whether on workdays or weekends, participants with sleep time ≥ 8/9 h, PA time ≥ 1 h, and ST < 2 h per day had higher levels of NL. On weekdays, participants who met the sleep time ≥ 8 h/9 h (OR = 1.48, 95% CI: 1.36, 1.62) and PA time ≥ 1 h (OR = 1.69, 95% CI: 1.59, 1.81) had higher reporting of NL levels. Conclusions: Sleep time, PA time, and ST were positively correlated with NL among adolescents, especially junior high school students.