This prospective study investigated the association between changes in physical activity and subsequent changes in either body weight or waist circumference. Analyses were performed on 4,944 participants of the Doetinchem study (men and women aged between 26 and 66 years at baseline). Assessment of physical activity, body weight and waist circumference were obtained at three consecutive times during 5-year intervals. Results showed that compared with no change, increasing physical activity from baseline to the 5-year follow-up led to less concurrent weight gain and, that this effect was sustained in the consecutive 5-year interval. The opposite effect was observed for decreasing physical activity levels from baseline to the 5-year follow-up, but this effect was not maintained during the following 5 years (i.e., 5- to 10-year follow-up period). These results suggest that increasing physical activity is associated with a significantly lower body weight gain and waist circumference, emphasizing the need for physical activity promotion in the prevention of weight gain.