The practice of physical activity during adolescence is essential for the proper development of the population. In recent decades, the relevance of physical activity has been increasing, due to the development of the “fat but fit” paradigm. This paradigm shows that adolescents with a high level of physical fitness are healthier than adolescents with poorer physical fitness, regardless of their weight, giving importance to sports practice over other aspects. However, few previous studies have analyzed the differences in physical and body composition between active and sedentary adolescents in this paradigm. For this reason, the objectives of the present study were to establish the differences in body composition, physical performance, and adherence to the Mediterranean diet between active and sedentary adolescents; and to analyze the differences between active and sedentary adolescents according to the “fat but fit” paradigm. The sample consisted of 791 adolescent whose body composition, level of physical activity, adherence to the Mediterranean diet, and physical fitness were measured. It was found significant between active and sedentary adolescents in most of the anthropometric, AMD, and physical fitness variables, with a significant effect of the covariates gender, age, BMI, and biological maturation on the model. The binary logistic regression analysis performed shows that anthropometric variables, AMD, and VO2 max can be considered as primary outcomes to distinguish between active and sedentary groups of adolescents. Furthermore, the results showed that the active adolescents, regardless of their weight status, had lower fat mass and greater muscle mass, as well as a higher performance in the physical fitness tests, and greater adherence to the Mediterranean diet than the sedentary adolescents. To conclude, the practice of physical activity is a determinant for the improvement of body composition, physical performance, and adherence to the Mediterranean diet of the adolescent population, regardless of their gender, age, weight, or maturity status.