Background: This study investigated associations between different types of sedentary behavior (SB) and physical activity (PA) in parent and their child, including the moderating effects of parent and child sex. Methods: In total, 1231 adolescents, 1202 mothers, and 871 fathers were evaluated. The SB (TV viewing + computer + video game); different types of PA (leisure-time PA, occupational PA, and total PA); and the socioeconomic level were evaluated by questionnaire. The relationship between adolescents’ SB and PA with parental characteristics was estimated by linear regression. Results: The SB of male adolescents was correlated to the father’s SB (β = 0.26; 95% confidence interval [CI], 0.13–0.39) and mother’s SB (β = 0.18; 95% CI, 0.06–0.31). A similar relationship was observed between SB of female adolescents and the father’s SB (β = 0.31; 95% CI, 0.19–0.42) and mother’s SB (β = 0.29; 95% CI, 0.20–0.38]). The SB of girls was inversely related to mother’s occupational PA (β = −2.62; 95% CI, −3.66 to −0.53]). The PA of the boys and girls was correlated with their fathers and mothers PA. All the results were adjusted for age and parent’s socioeconomic level. Conclusions: SB and PA of parents were associated with SB and PA of their children, regardless of gender. Strategies for health promotion should consider the family environment to increase PA and reduce SB.