Background: Although many studies found a positive association between physical activity (PA) and academic performance (AP), most did not consider important variables of school setting and students' self-concept. Aims: To analyze the association between moderate-to-vigorous PA (MVPA) and AP in adolescents, considering potential confounding variables of school setting and self-concept in adolescents. Method: The final sample was composed of 394 students (186 boys) with a mean age of 11.3 (SD = 0.8) years. The school grades were used as an indicator of AP. Measurements of body mass and stature were collected, and the body mass index was calculated and converted into z-score values. Maternal education, socioeconomic status, self-concept, and variables of the school setting were self-reported. MVPA and sedentary behavior (SB) were measured through accelerometry (GT3X and GT3X+; ActiGraph, Pensacola, Florida). Multiple linear regression was used for the association analyses, adopting p < 0.05. Results: MVPA was inversely associated with global AP and mathematics only for girls: [beta] = -0.105 (95% CI [-0.205, -0.006]; p = 0.038); [beta] = -0.136 (95% CI [-0.261, -0.011]; p = 0.033). After adjusting for the school setting and self-concept, these significant associations disappear. Discussion: MVPA was inversely associated with global AP and mathematics only for girls regardless of age, z-score body mass index, maternal education, socioeconomic status, and SB. However, after adjusting for school setting and self-concept, theses association disappear in mathematics and global AP, respectively. Conclusion: The device-measured MVPA was not associated with AP after controlling for important variables (school setting and self-concept).