This study adds to the limited, existing research on the relationship between cigarette costs, smoking and physical activity by considering more comprehensive physical activity measures, including non-work activities beyond recreational exercise. To better understand the relationship between smoking and our broader measures of physical activity, we provide a conceptual framework in which smoking takes time and is often a secondary activity that is easier to undertake during some activities (e.g., watching television, walking) than others (running). These measures come from the American Time Use Survey (ATUS), linked with the Current Population Survey’s Tobacco Use Supplement (CPS-TUS), for 2003-2012, a period of increasing cigarette costs yet predating the emergence of e-cigarettes. Our empirical results suggest that the relationships between cigarette costs, smoking and physical activity are different between men and women and that focusing only on ‘exercise,’ rather than all forms of non-work, physical activity may yield misleading conclusions. Smoking cessation is associated with increased ‘exercise’ for both men and women, but only men’s smoking and exercise are significantly affected by cigarette prices. However, redefining physical activity to include other non-work activities eliminates these relationships, suggesting few spillovers between smoking and physical activity, once broadly defined. Even if cigarette costs induce an increase in exercise – as they appear to do for males – this increase comes at the expense of other activities, thereby diminishing the overall impact on physical activity.