Via a school-based survey, we used a developmental assets framework to investigate associations of internal and social characteristics and weight-based bullying with sport and physical activity (PA) among female adolescents with high weight status (n = 4,468; M age = 14.9 years, SD age = 1.3; body mass index ≥ 95th percentile). Participants reported ≥60 min of PA on approximately 3.0 days (SD = 2.1) in the previous week. Over one-third played organized team sports, averaging 3.5 days (SD = 1.5) per week. Weight-based bullying was common (46%) and unassociated with lower sport and PA. Results from t-tests and chi-squared tests demonstrated that adolescents who played sport (vs. those who did not) had higher internal developmental assets, better perceived health, and stronger perceptions of caring from parents, friends, and other community adults. Similarly, adolescents engaging in more PA reported higher developmental assets. In regression models adjusted for all variables and demographic characteristics, higher internal developmental assets, better perceived health, and stronger perceptions of caring from adults in the community were positively and significantly associated with increased odds of sport participation and higher PA. Findings suggest female adolescents with high weight status have internal and social assets related to their participation in PA and sport, despite experiencing weight-based bullying. Adults (e.g., coaches, parents, and healthcare professionals) should help female adolescents with high weight status participate in sport and PA and build developmental assets. Adults should also recognize the frequent weight-based bullying youth encounter and strive to mitigate it in sport and PA contexts.