Higher levels of aerobic fitness and physical activity are linked to beneficial effects on brain health, especially in older adults. The generalizability of these earlier results to young individuals is not straightforward, because physiological responses (such as cardiovascular responses) to exercise may depend on age. Earlier studies have mostly focused on the effects of either physical activity or aerobic fitness on the brain. Yet, while physical activity indicates the amount of activity, aerobic fitness is an adaptive state or attribute that an individual has or achieves. Here, by measuring both physical activity and aerobic fitness in the same study, we aimed to differentiate the association between these two measures and grey matter volume specifically. Magnetic resonance imaging scans were used to study volumes of 30 regions of interest located in the frontal, motor and subcortical areas of 60 adolescents (12.7–16.2 years old). Moderate-to-vigorous intensity physical activity (MVPA) was measured with hip-worn accelerometers and aerobic fitness was assessed with a 20-m shuttle run. Multiple regression analyses revealed a negative association between aerobic fitness and left superior frontal cortex volume and a positive association between aerobic fitness and the left pallidum volume. No associations were found between MVPA and any brain region of interest. These results demonstrate unequal contribution of physical activity and aerobic fitness on grey matter volumes, with inherent or achieved capacity (aerobic fitness) showing clearer associations than physical activity.