Participation in organized sports is a popular and important part of the lives of children and adolescents and is associated with improved psychological and social health, as well as an increased likelihood of meeting physical activity (PA) recommendations. Changes in modern society, including increased car ownership and use of technology and electronic media, have led to an additional focus on the importance of health‐enhancing PA among children and adolescents. The aim of this article was to study the secular changes in self‐reports of participation in organized sports clubs and leisure‐time vigorous physical activity (LVPA), and whether the relationship between participation in organized sports clubs and LVPA has changed from 1985 to 2014. Questionnaire data were collected in two cross‐sectional samples of Finnish and Norwegian 11‐, 13‐ and 15‐year‐olds in 1985/1986 (n = 7137) and 2014 (n = 9218). Overall, participation in organized sports clubs and level of LVPA appears to have changed in the same direction in the two Nordic countries. The proportion of 11‐year‐olds reporting to be participants in organized sports clubs increased from 1985/1986 to 2014. There was an overall increase in self‐reported LVPA. The association between participation in sports clubs and LVPA was stronger in 2014 than in 1985/1986. The findings indicated subgroup differences, in particular with regard to a steeper increase in LVPA and participation in sports clubs among Finnish girls. We suggest that attention should be given to the role of organized sports to better understand secular changes in PA.