Numerous obesity loci have been identified using genome-wide association studies. A UK study indicated that physical activity may attenuate the cumulative effect of 12 of these loci, but replication studies are lacking. Therefore, we tested whether the aggregate effect of these loci is diminished in adults of European ancestry reporting high levels of physical activity. Twelve obesity-susceptibility loci were genotyped or imputed in 111,421 participants. A genetic risk score (GRS) was calculated by summing the BMI-associated alleles of each genetic variant. Physical activity was assessed using self-administered questionnaires. Multiplicative interactions between the GRS and physical activity on BMI were tested in linear and logistic regression models in each cohort, with adjustment for age, age(2), sex, study center (for multicenter studies), and the marginal terms for physical activity and the GRS. These results were combined using meta-analysis weighted by cohort sample size. The meta-analysis yielded a statistically significant GRS × physical activity interaction effect estimate (Pinteraction = 0.015). However, a statistically significant interaction effect was only apparent in North American cohorts (n = 39,810, Pinteraction = 0.014 vs. n = 71,611, Pinteraction = 0.275 for Europeans). In secondary analyses, both the FTO rs1121980 (Pinteraction = 0.003) and the SEC16B rs10913469 (Pinteraction = 0.025) variants showed evidence of SNP × physical activity interactions. This meta-analysis of 111,421 individuals provides further support for an interaction between physical activity and a GRS in obesity disposition, although these findings hinge on the inclusion of cohorts from North America, indicating that these results are either population-specific or non-causal.