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Physical activity (PA) has been associated with a lower risk of some obesity-related cancers, but the combined association and interaction of PA and body weight on obesity-related cancer risk is less clear. We examined the association of leisure-time PA (high/low) and its combination with body mass index (BMI, <25 [low]/≥25 [high] kg/m2) on obesity-related cancer risk in 570 021 individuals, aged 43 years on average at baseline, in five Scandinavian cohorts. We used Cox regression to calculate hazard ratios of obesity-related cancers (n = 19 074) and assessed multiplicative and additive interactions between PA and BMI on risk. High leisure-time PA, recorded in 19% of the individuals, was associated with a 7% (95% confidence interval [CI] 4%-10%) lower risk of any obesity-related cancer compared to low PA, with similar associations amongst individuals with a low and a high BMI (6% [1%-11%] and 7% [2%-11%]). High PA was also associated with decreased risks of renal cell (11% [9%-31%]) and colon cancer (9% [2%-16%]). When high PA and low BMI were combined, the relative risk reduction for all obesity-related cancers was 24% (95% CI 20%-28%); endometrial cancer, 47% (35%-57%); renal cell cancer, 39% (27%-51%); colon cancer, 27% (19%-35%); multiple myeloma, 23% (2%-40%) and pancreatic cancer, 21% (4%-35%), compared to low PA-high BMI. There were no additive or multiplicative interactions between PA and BMI on risk. The result of our study suggests a reduced risk of obesity-related cancer by leisure-time PA in both normal weight and overweight individuals, which further decreased for PA and normal weight combined.