The purpose of this study was to examine the combined effects of milk intake and physical activity on bone mineral density in adolescents. This study was conducted using data from the 2009–2011 Korea National Health and Nutrition Examination Survey (KNHANES), which provided measurements of bone mineral density (BMD) in addition to basic health-related data. This study included 1061 adolescents aged 13 to 18 years (557 males and 504 females) whose data on milk intake and participation time in moderate to vigorous physical activity were available. BMD was measured by dual-energy X-ray absorptiometry (DXA). Milk intake was assessed using the 24-h recall method, and the levels of physical activity were examined using a questionnaire. The physical activity questions of 2009–2011 KNHANES were based on the Korean version of the International Physical Activity Questionnaire (IPAQ) short form. The subjects were classified into four groups according to milk intake and physical activity level: no milk intake + low-level physical activity group (MnoPlow), no milk intake + high-level physical activity group (MnoPhigh), milk intake + low-level physical activity group (MyesPlow), and milk intake + high-level physical activity group (MyesPhigh). The results of partial correlation controlling for age, body mass index (BMI), and energy intake showed that the BMD variables were associated significantly with physical activity in both males and females. Among males, the MnoPlow group had the lowest BMD in all BMD variables, showing a significant difference from the high-level physical activity groups (MnoPhigh, MyesPhigh) by multiple logistic regression analysis. Among females, the MyesPhigh group showed a significantly higher lumbar BMD value than the other groups. The MnoPlow group had approximately 0.3 to 0.5 times lower odds ratio for median or higher BMD values, compared to MyesPhigh group. These results show that milk intake and physical activity have a combined effect on BMD, and suggest that to achieve healthy bone growth, it is important to encourage both moderate to vigorous physical activity and milk intake during adolescence.