Overweight and obesity is one of the leading causes of diseases in the developed world. In Australia, two thirds of Australians are overweight or obese causing high costs to the healthcare system. Physical inactivity is one of the key determinants of rising overweight and obesity. However, there is little evidence in this research area in Australia using non-experimental data to address biases due to individual unobserved heterogeneity that is linked to both body weight and physical activities (PA). We employ a fixed effect model, which can adjust for time invariant unobserved confounders that may affect both physical activity and body weight, to estimate the relationship between PA and body weight. We find that higher levels of physical activity are correlated with lower body weight or body mass index (BMI). The dose effect is found; the higher PA levels the lower BMI. Even low levels of physical activity are enough to generate a reduction in BMI (in comparison with sedentary activities). People need time and resources. It is therefore critical to have accessible and affordable sport facilities, and policies enable individuals to have more free time for PA if policies aim to tackle overweight and obesity in Australia.