Guided by the socio-ecological model, the aim of this study was to investigate the predictive strengths of individual, social, and physical environmental factors toward different intensities of physical activity (PA; vigorous PA, moderate PA, walking) and sedentary behavior (SB) among college students. A cross-sectional research design was used. There were 287 college students (Mage = 20.75 ± 2.91; 54% female) recruited from a public research university in the Southwestern United States. Participants completed previously validated questionnaires assessing their PA, SB, and perceptions of self-efficacy, social support, and physical environment variables. Correlation and hierarchical regression analyses were performed to examine the associations and the relative contributions of those individual, social, and physical environmental factors to PA and SB, respectively. The findings indicated that self-efficacy, social support from friends, and convenience of using exercise facilities were positively correlated with vigorous PA. Self-efficacy and physical environmental factor such as convenience of using exercise facilities were significantly associated with students’ moderate PA. Physical environmental factors, including convenience of using exercise facilities, satisfaction with neighborhood services, ease of walking to public transportation stop, and detached single-family residence were significantly related to walking, while only detached single-family residence was associated to SB. The results highlight PA interventions may do well to focus on the promotion of individual and environmental variables to increase PA in college students. More evidence is needed to determine the relationships between social ecological factors and SB.