There is an urgent need to understand factors that promote physical activities (PA) because it is one of the modifiable risk factors for global mortality. None of the previous reviews considered both perceived and objective characteristics of the same environment. The first aim was to review the literature on studies investigating the relationship between PA behavior of adults and perceived and objective physical environment measures. The second aim was to verify the potential mediational role of the perceived measure in the relationship between the objective measure of the environment and PA using meta-analytic SEM. Only 15 studies reported a relationship between PA and both environmental measures. One of the most studied characteristics of the physical environment is the accessibility to recreational/PA facilities. Both objective and subjective measures of accessibility to PA facilities are associated with PA. Meta-SEM results suggest a significant effect of the objective accessibility to facilities on PA behavior (β = 0.15) and on the perceived measure (β = 0.10), but the indirect effect was not significant. No significant effect was found for the perceived measure on PA, suggesting that individuals’ level of awareness about their environments may have played a role. This prompts a need to create awareness campaigns.