(1) The objective of this study is to describe and compare the levels of physical activity, preferences for leisure-time physical activity and the frequency of non-sedentary behaviors of Portuguese, Italian and Spanish students attending, respectively, higher education in Portugal, in Italy and Spain; (2) Methods: 1354 Portuguese, Spanish and Italian students (21.2 ± 2.9 years) participated in the study. An online questionnaire was used to collect data and a priori power analysis statistical procedures were used using G∗Power (3.1.9.7) and one-way Anova; (3) Results: The highest levels of sedentary lifestyles are found among Spanish students, followed by the Portuguese and lastly the Italians. Regarding the levels of physical activity Spanish students perform more minutes of low and moderate activity compared to Italians and Portuguese. Italians students are the ones who perform more vigorous activity; (4) Conclusions: We can conclude that Spanish students have a higher level of sedentary lifestyle with the majority of physical activity being low and moderate, while Italians are those who have more time spent on vigorous physical activity and naturally a lower level of sedentary lifestyle. However, it is worth highlighting that all three countries reach the minimum levels of physical activity recommended by the WHO.