Poor nutrition or insufficient physical activity (PA) are risk factors for obesity and chronic diseases. This 2019 cross-sectional study from the school health survey examined the dietary and PA behaviors of Chinese adolescents. A total of 12,860 adolescents aged 11–18 participated through multistage and stratified cluster random sampling. A questionnaire collected data on weight, PA, sedentary lifestyle, and eating habits. Unhealthy behaviors were identified and summed up for each behavior. Participants were then classified into high and low amounts of risk behaviors. Weight status was defined using Body Mass Index (BMI) cutoff points for Chinese individuals aged 6–18. Multinomial logistic regression was used to assess effects of lifestyle behaviors on weight status. The prevalence of overweight and obesity was 22.3% among all participants (30.6% in boys, 13.2% in girls). Females engaged in more risk physical activities (4.12 vs. 3.80, p < 0.05), while males engaged in more risk dietary activities (2.20 vs. 2.02, p < 0.05). Higher number of risk dietary, PA, and sedentary behaviors were all significantly correlated with higher BMI (dietary: r = 0.064; PA: r = 0.099; sedentary: r = 0.161; p < 0.001 for all) and body weight (dietary: r = 0.124; PA: r = 0.128; sedentary: r = 0.222; p < 0.001 for all). Risk sedentary behaviors was a significant risk factor for overweight/obesity (Adjusted Odds Ratio AOR = 1.30, 95% Confidence Interval CI 1.11–1.52). Obesity and unhealthy lifestyle behaviors remain a concern among Chinese adolescents. These results provide an update on the factors contributing to overweight/obesity among adolescents and call for efforts to address obesity among adolescents.