Introduction: A neighbourhood’s environmental characteristics can positively or negatively influence health and well-being. To date, no studies have examined this concept in the context of Saudi Arabian youth. Therefore, this study aimed to evaluate the association between a neighbourhood’s environmental characteristics and health risk factors among Saudi Arabian youth. Methods: A total of 335 secondary-school students (175 males, 160 females), aged 15–19 years old, participated. Body mass index (BMI) and waist circumference measurements were taken, and physical activity (steps) was measured via pedometer. The perceived neighbourhood environment was assessed using the International Physical Activity Questionnaire Environment Module (IPAQ-E). Results: Significant differences were found between the youths from urban, rural farm, and rural desert locations in terms of BMI, waist circumference, daily steps, accessibility, infrastructure, social environment, household vehicles, safety, and access to facilities (p < 0.001). Rural desert youths were less active, and males (26.43 + 8.13) and females (24.68 + 5.03) had higher BMIs compared to the youths from other areas. Chi-square analysis revealed a significant difference (χ21 = 12.664, p < 0.001) between the genders as to social-environment perceptions. Males perceived their neighbourhood as a social environment more than was reported by females (68.39% and 50.28%, respectively). Pearson’s correlation revealed negative significant relationships between steps and both safety of neighbourhood (r = −0.235, p < 0.001) and crime rate (r = −0.281, p < 0.001). Discussion: Geographical location, cultural attitudes, lack of facilities, and accessibility impact youth physical-activity engagement and weight status; this includes environmental variables such as residential density, neighbourhood safety, household motor vehicles, and social environment. Conclusions: This is the first study examining associations with neighbourhood environments in the youths of the Kingdom of Saudi Arabia. Significant associations and geographical differences were found. More research and policy interventions to address neighbourhoods’ environmental characteristics and health risk factors relative to Saudi Arabian youth are warranted.