Physical activity and sleep disorders are established risk factors for many diseases, but their etiology is poorly understood, partly due to a reliance on self-reported evidence. Here we report a genome-wide association study (GWAS) of wearable-defined and machine-learned physical activity and sleep phenotypes in 91,112 UK Biobank participants, and self-reported physical activity in 351,154 UK Biobank participants. While the self-reported activity analysis resulted in no significant (p<5x10-9) loci, the analysis of objectively-measured traits identified 10 loci, 6 of which are novel. These 10 loci account for 0.05% of activity and 0.33% of sleep phenotype variation, but genome-wide estimates suggest that common variation accounts for ~12% of phenotypic variation, indicating high polygenicity. Heritability was higher in women than in men for overall activity (Δh2 = 4%, p=6.3x10-5), moderate intensity activity (6%, p=6.7x10-8), and walking (5%, p=2.6x10-6). Heritability partitioning, enrichment and pathway analyses all indicate the central nervous system plays a role in activity behaviours. Mendelian randomization in publicly available GWAS data and in 278,367 UK Biobank participants, who were not included in our discovery analyses, suggest that overall activity might be causally related to lowering body fat percentage (beta per SD higher overall activity: -0.44, SE=0.047, p=2.70x10-21) and systolic blood pressure (beta per SD: -0.71, SE=0.125, p=1.38x10-8). Our current results advocate the value of physical activity for the reduction of adiposity and blood pressure.