The aim of this work was to investigate the role of physical activity in protection from substance use in adolescence, focusing on the interdependence between the different relational micro-systems of the neighborhood, the school, the family, and the peer group. Interviews were conducted with 30 adolescents recruited through a theoretical sampling and divided into two groups (i.e., active and sedentary adolescents). The results of Grounded Theory showed that physical activity promoted the ability to plan and to express desires and emotions in a healthy way, providing protection from substance use. Unstructured activities didn't support adolescents in gaining a sense of responsibility.