In China, the physical activity of adolescents is declining nowadays, which may be linked to their health locus of control, social support, and self-efficacy. The current study has investigated the role of health locus of control, social support, and self-efficacy in adolescents’ physical activity. Using convenient sampling, 569 (18–21 years old) adolescents were surveyed. There were 313 (55.01%) females and 256 (44.99%) males. Data were collected through questionnaires on the study variables. The results display that physical activity is directly positively affected by locus of control, self-efficacy, and social support. Both self-efficacy and social support are positively associated with locus of control and physical activity. Further, locus of control also indirectly affects physical activity through self-efficacy and social support. To conclude, we can say that locus of control, self-efficacy, and social support play a significant role in promoting physical activity. The study suggests developing effective future interventions by considering the study variables to increase physical activity.