Academic achievement and positive leisure activities are traditionally considered significant determinants of economic growth and human capital accumulation. This paper estimates the impact of physical activity on academic outcome and time allocation to 25 different types of leisure activity by Chinese adolescents. We use structural equation models (SEM) to explore the channels of this transmission. Our results suggest that physical exercise not only exerts a positive direct effect on academic outcome but also increases (decreases) students’ time devoted to activities that are positively (negatively) correlated with academic outcome. All the effects are statistically significant but modest at the individual level. Our findings are robust to different exercise frequencies and academic outcome indicators based on students’ self-assessment, academic scores, and cognitive tests.