Background: This study aimed to investigate the association between violent sexual victimization and muscle-building exercise among adolescents. Methods: Cross-sectional data from the 2019 National Youth Risk Behavior Survey (N = 8408) were analyzed. Two indicators of non-dating-related sexual violence (lifetime, past 12 months), along with one indicator of adolescent sexual violence (past 12 months), were assessed. Days of muscle-building in the past week were reported. Multinomial logistic regression analyses were conducted to determine the associations between the three violent sexual victimization variables and muscle-building exercise. Results: Among the sample (50.3% girls), lifetime violent sexual victimization (relative risk ratio [RRR] 1.87, 95% confidence interval [CI] 1.29 to 2.72), past 12-month violent sexual victimization (RRR 1.60, 95% CI 1.15 to 2.22), and past 12-month sexual dating violence (RRR 1.60, 95% CI 1.03 to 2.51) were associated greater relative risk of high engagement (i.e., 6 to 7 days) in muscle-building exercise relative to no engagement. Conclusions: A history of violent sexual victimization is associated with greater involvement in muscle-building exercise, particularly among adolescent girls. Engagement in muscle-building exercise in relation to violent sexual victimization may be a means of emotion regulation and occur due to body dissatisfaction resulting from experiencing violence.