Research has found that physical activity (PA) protects adolescents from smoking initiation and progression, although it is not clear whether all PA is equally protective. Moreover, it is unclear whether the protective effects are direct or indirect through mediating mechanisms (e.g., self-concept, depression symptoms).The purpose of this study was to assess a sequential mediation model in which moderate and vigorous PA (MVPA) and interscholastic sport participation decrease the likelihood of smoking one year later, indirectly in a sequential pathway through sport competence beliefs (SCB) and depressive symptoms (DS). We were also interested whether interscholastic sport participation or MVPA is most protective, and if males and females differ in the indirect effects.Participants were 384 adolescents (55% male, 96% Caucasian) drawn from a public high school in the North East region of the United States, taking part in a two-year prospective study (grades 10–11) evaluating the relationship between 10th grade physical activity and 11th grade smoking in adolescents. We employed a two-group (male versus female) structural equation model (SEM) to test sequential mediation pathways for significance.Only interscholastic sport participation (β interscholastic sport–SCB–DS–smoking =−0.05, 95%CI=−0.10, −0.01), not MVPA, had a significant negative sequential indirect effect on adolescent smoking through SCB and DS, but only for males, not females.The results suggest the effects of interscholastic sport participation on adolescent smoking may depend upon how competent youth feel after participation. Thus, in addition to prescribing organized activity participation, such as interscholastic sport, smoking prevention initiatives could focus on how youth interpret activity experience. Further, the sex difference found suggests that more research is needed to understand what type of organized activity, if any, is most protective for females against smoking.