Background: The aim of this article is to examine the association between adolescents’ physical activity (PA) levels and their relatives’ (father, mother, brothers, sisters and best friend) PA engagement and encouragement. Methods: Adolescents (52.3% girls) aged 12.5–17.5 years were gathered from the HELENA study. Adolescents’ PA levels were assessed by the International Physical Activity Questionnaire for Adolescents (valid data on 3007 participants) and accelerometry (valid data on 2200 participants). Relatives’ engagement and encouragement were reported by the adolescents and encoded into three categories (low, middle and high). Results: Analysis of covariance showed that relatives’ PA encouragement was more strongly associated with adolescents’ PA levels than relatives’ PA engagement. Pairwise comparisons indicated that the higher the encouragement level (from most relatives) the higher the adolescent’s PA levels. This finding was overall consistent when using self-report or objective methods for assessing adolescents’ PA levels, yet the associations were stronger when using self-report methods. Conclusions: These findings highlight the important role of social encouragement on adolescents’ PA levels. Community interventions aiming to enhance PA levels in the adolescent population might be more successful when family and peers are also targeted.