Background: Overweight and obesity have been associated with a pro-inflammatory state. We aimed to assess the ability of different measures of overall and abdominal adiposity for identifying adverse levels of inflammatory and metabolic markers in adolescents. Methods: This is a cross-sectional analysis with 529 Portuguese adolescents (267 girls), mean age 14.3 ± 1.7 years. Weight, height, sitting height, waist circumference (WC), and body fat percentage (BF%) were measured; and BMI, waist-to-height ratio (WHtR), and waist-to-sitting-height ratio (WsHtR) were calculated. We measured C-reactive protein (CRP), fibrinogen, erythrocyte sedimentation rate (ESR), complements C3 and C4, leptin, and adiponectin levels. Receiver operating characteristic (ROC) curves were used to estimate the ability of the adiposity measures to discriminate between low/high values of biomarkers. Results: The highest areas under the ROC curves were presented by BF% for fibrinogen and complement C3 in both sexes and for ESR, complement C4, and adiponectin only in girls; by BMI for CRP in girls and for leptin in both sexes; by WHtR for leptin in both sexes and for CRP, fibrinogen, and adiponectin only in girls; by waist circumference for CRP, fibrinogen, and complement C3 only in boys and for complement C4 in girls; and by WsHtR for complement C3 in girls; p < 0.05 for all. Conclusions: The measures that more often presented discriminatory power were, for overall adiposity, BF% in both sexes, and for abdominal adiposity, WHtR in girls and WC in boys. However, small differences in discriminatory capabilities don't allow us to clearly defend the adoption of a single measure above all others.