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Objectives: Family functioning (FF), physical activity (PA), and high-fat food consumption (HF) are associated with adolescents being overweight and obese; however, little is known about their interactions. Therefore, this study aimed to examine how they work jointly on adolescent obesity with BMI as the outcome variable. Methods: A cross-sectional survey utilizing a cluster sampling design was conducted. Multinomial logistic regressions, multiplication interaction (MI), and marginal effects (MEs) were tested. Results: Active PA (non-overweight vs. obesity: OR = 2.260, 95% CI [1.318, 3.874]; overweight vs. obesity: OR = 2.096, 95% CI [1.167, 3.766]), healthy HF (non-overweight vs. obesity: OR = 2.048, 95% CI [1.105, 3.796]) and healthy FF (overweight vs. obesity: OR = 2.084, 95% CI [1.099, 3.952]) reduced obesity risk. Overweight students with healthy FF were less likely to become obese regardless of PA (inactive: OR = 2.181, 95% CI [1.114, 4.272]; active: OR = 3.870, 95% CI [1.719, 8.713]) or HF (unhealthy: OR = 4.615, 95% CI [1.049, 20.306]; healthy: OR = 5.116, 95% CI [1.352, 19.362]). The MEs of inactive PA and unhealthy FF were −0.071, 0.035, and 0.036 for non-overweight, overweight, and obese individuals, respectively (p < 0.05); the MEs of HF and healthy FF individuals were −0.267 and 0.198 for non-overweight and obese individuals, respectively (p < 0.05). Conclusions: Unhealthy FF regulated the influence of inactive PA or unhealthy HF on adolescent obesity, altogether leading to a higher risk of obesity.