•Adolescents who meet the physical activity recommendations have lower cardiometabolic risk.•No differences were observed between a high or low-level of sedentary behavior in physically inactive adolescents.•Cardiovascular fitness appears to be the most influential component linked to cardiometabolic health of adolescents.•An integrative classification combining physical activity and sedentary behavior shows to be an interesting tool to differentiate the behavior of movement in adolescents. This study aims to compare adolescents’ cardiometabolic risk score through an integrative classification of physical activity (PA), which involves the combination of moderate-to-vigorous physical activity (MVPA) and sedentary behavior (SB). A cross-sectional study derived from the Healthy Lifestyle in Europe by Nutrition in Adolescence Cross-Sectional Study database (2006–2008) was conducted in adolescents (n = 548; boys, 47.3%; 14.7 ± 1.2 years) from 10 European cities. MVPA and SB were objectively measured using accelerometry. Adolescents were divided into 4 categories according to MVPA (meeting or not meeting the international recommendations) and the median of SB time (above or below sex- and age-specific median) as follows: High-SB & Inactive, Low-SB & Inactive, High-SB & Active, and Low-SB & Active. A clustered cardiometabolic risk score was computed using the homeostatic model assessment, systolic blood pressure, triglycerides, total cholesterol/high-density lipoprotein cholesterol, sum 4 skinfolds, and cardiorespiratory fitness (CRF). Analyses of covariance were performed to discern differences on cardiometabolic risk scores among PA categories and each health component. The cardiometabolic risk score was lower in adolescents meeting the MVPA recommendation and with less time spent in SB in comparison to the high-SB & Inactive group (p < 0.05). However, no difference in cardiometabolic risk score was established between High-SB or Low-SB groups in inactive adolescents. It is important to note that CRF was the only variable that showed a significant modification (higher) when children were compared from the category of physically inactive with “active” but not from high- to low-SB. Being physically active is the most significant and protective outcome in adolescents to reduce cardiometabolic risk. Lower SB does not exhibit a significant and extra beneficial difference.