Although previous research has shown that social cohesion may promote physical activity, social cohesion at the individual level was not always differentiated from social cohesion at the community level, and studies were often limited to specific population subgroups or geographical areas. We addressed the above limitations through the use of a multilevel modelling approach and nationally-representative data from the 2009-2014 Canadian Community Health Survey. Physical activity level was operationalized as average daily energy expenditure; social cohesion was assessed by self-rated sense of belonging to the local community; and communities were represented by Canada's Forward Sortation Areas. The sample included 245,150 respondents from 1570 communities. Geographical location was found to explain a significant proportion (4.1%) of the overall variance in physical activity level. After adjusting for age, sex, household income, education and urban-rural status, both individual- and community-level social cohesion were found to be positively associated with physical activity (p<0.001 for both). Thus, efforts to promote social cohesion and integration within communities may also promote physical activity and overall health.