Physical activity and obesity are known to be associated. We investigated whether a change in leisure time physical activities (LTPA) predicts a subsequent weight change, or vice versa. We used data from a longitudinal study among Danish adults surveyed in 1983–1984, 1987–1988, and 1993–1994. Between two sequential surveys, the change in LTPA was grouped as no change, became less or more active; the change in body weight was defined as no change, lost or gained of more than one body mass index (BMI) unit. Among 2386 adults, change in LTPA was not associated with subsequent weight change. However, a loss in body weight (BMI change < −1 unit) was associated with subsequent either becoming less [OR = 1.49, 95% CI (1.03–2.15)] or borderline more active [OR = 1.37, 95% CI (0.99–1.90)]. Subgroup analyses showed particularity among females that a loss in body weight was associated with subsequent becoming more active [OR = 1.83, 95% CI (1.15–2.89)]. Our results suggest that change in LTPA is unrelated to subsequent weight change, but loss in body weight seems related to subsequent more active among female adults.