This study aimed to confirm the associations between stress and physical activity (PA) in Korean adolescents with atopic dermatitis (AD) based on data from the 2018–2019 Korea Youth Risk Behavior Web-Based Survey. The AD groups were divided into adolescents who were not diagnosed with AD, adolescents who were diagnosed with AD more than one year ago, and adolescents who were diagnosed with AD within one year. We defined the regular PA group and the non-PA group using the American College of Sports Medicine guidelines for children and adolescents: moderate to vigorous PA ≥5 times per week, including vigorous PA ≥3 days per week and muscle strengthening exercises ≥3 times per week. We performed logistic regression analysis to calculate the stress odds ratio (OR) and 95% confidence interval (CI) by group using model 1, adjusted for age, sex, and body mass index, and model 2, additionally adjusted for drinking, smoking, economic statuses, academic achievement, asthma, and rhinitis. In the group diagnosed with AD within one year, stress was 41% and 32% higher according to models 1 (1.41 (1.31–1.52)) and 2 (1.34 (1.20–1.50)), respectively. However, the stress OR was 30% lower in adolescents who completed regular PA than in the non-PA group (model 1: 0.71 (0.58–0.87); model 2: 0.68 (0.57–0.84)), even if diagnosed with AD within one year. In conclusion, the stress of adolescents with AD was significantly higher than that of adolescents without AD. The stress was significantly lower in the group with regular PA, and it was more robust in adolescents diagnosed with AD within one year.