Background: Understanding factors influencing adolescents’ sport/exercise participation (S/EP) is vital to developing effective interventions, but currently, evidence from less developed countries is limited. The purpose of this study was to examine correlates of S/EP across individual, interpersonal, and environmental levels in a nationally representative sample of Thai adolescents. Methods: Data from 4617 Thai adolescents aged 14–17 years old were obtained from recruited schools across Thailand. Data on S/EP (outcome variable), and psychosocial, home, and community environment covariates were collected from individual adolescents using the Thailand Physical Activity Children Survey, Student Questionnaire. School environmental data were collected at the school level using a School Built Environment Audit. Hierarchical regressions taking into account school clustering effects were applied for data analysis. Results: At the individual level, age and body mass index were independently and strongly correlated with S/EP. Adolescents with high preference for physical activity (PA) (odd ratio (OR) = 1.71, p < 0.001) and at least a moderate level of self-efficacy (OR = 1.33, p = 0.001) were more likely to have high S/EP. At the interpersonal level, adolescents whose parents joined their sports/exercise at least 1–2 times/week (OR = 1.36, p = 0.003) received ≥3 types of parental support (OR = 1.43, p = 0.005) and who received siblings’ (OR = 1.26, p = 0.004) and friends’ (OR = 1.99, p < 0.001) support had a greater chance of high S/EP. At the environmental level, adolescents’ S/EP was greater when there were at least 3–4 pieces of home sport/exercise equipment (OR = 2.77, p = 0.003), grass areas at school (OR = 1.56, p < 0.001), and at least 1–2 PA facilities in the community (OR = 1.30, p = 0.009). Conclusion: Multiple factors at different levels within an ecological framework influencing Thai adolescents’ S/EP were generally similar to those found in developed countries, despite some differences. For those interested in promoting and supporting Thai adolescents’ engagement in sports/exercise, further exploration of the influence of self-efficacy and attitude toward PA is required at the individual level; parental and peer support at the interpersonal level; and home sport equipment, school grass areas, and neighborhood PA facilities at the environment level.