Purpose: Whether physical activity (PA) might have certain benefits for cardiovascular disease (CVD) primordial prevention even in the absence of clinically significant weight loss is of public health interest. In this study, we examined the independent and combined associations of simultaneous changes in PA and body weight with the subsequent development of major CVD risk factors in adults. Methods: This prospective analysis included 116,134 healthy men and women, aged ≥18 years, with at least 3 medical examinations from the Taiwan MJ Cohort. Two-year changes in PA and body weight between the first and second examination were linked to subsequent development of hypertension, hypercholesterolemia, atherogenic dyslipidemia, metabolic syndrome, type 2 diabetes mellitus (T2DM), and chronic inflammation, which were assessed by physical examinations and laboratory tests. Results: During an average follow-up of 5.7 ± 4.1 years after the second examination, 10,840 individuals developed hypertension, 10,888 hypercholesterolemia, 6078 atherogenic dyslipidemia, 13,223 metabolic syndrome, 4816 T2DM, and 2027 inflammation. Weight gain was associated with a subsequent higher risk of all CVD risk factors, with HR (95%CI) ranging from 1.11 (1.00–1.23) for inflammation to 1.74 (1.67–1.82) for metabolic syndrome, compared with participants who lost weight. A stable weight was also associated with a higher risk of all CVD risk factors except with inflammation. In combined analyses, participants who simultaneously gained weight and decreased PA levels had the highest risk compared with those who lost weight and increased PA. Increasing or maintaining PA reduced the increased subsequent risk of some CVD risk factors among participants who maintained a stable weight or gained weight. Among participants who lost weight, decreased PA was not associated with an increased risk. Conclusions: Although weight loss is crucial for the prevention of CVD risk factors, increasing or maintaining PA is also important to prevent them among adults who gain or maintain their weight.