This study examines the relationship between socioeconomic status (SES) and sport and physical activity involvement at different stages of childhood and adolescence in Canada. From the previous literature on SES and health-related behavior, there was reason to test competing hypotheses on the direction of the predicted relationship. The data employed in our analysis came from Cycle 3 of the National Longitudinal Survey of Children and Youth—1998–1999. Results, after controls, showed that SES was a significant predictor of sport involvement among 6–9 year-olds, but not for 10–15 year-olds. In the younger group, the higher the family SES the more frequent was the involvement. The effects of SES were much stronger for organized sport involvement than for participation in an informal context. The discussion bears on the implications of these findings for later adult physical activity and sport involvement and their ramifications for sport and exercise promotion policy.