Raised blood pressure (BP) response during exercise independently predicts future hypertension. Subjects with higher BP in childhood also have elevated BP later in life. Therefore, the factors related to the regulation of exercise BP in children needs to be well understood. We hypothesized that physiological cardiovascular disease (CVD) risk factors would influence BP response during exercise in children and adolescents. This is a cross-sectional study of 439 Danish third-grade children and 364 ninth-grade adolescents. Systolic blood pressure (SBP) was measured with sphygmomanometer during a maximal aerobic fitness test. Examined CVD risk factors were high-density lipoprotein (HDL)- and low-density lipoprotein (LDL)-cholesterol, triglyceride, homeostasis model of assessment of insulin resistance (HOMA-IR) score, body mass index (BMI), waist circumference, and aerobic fitness. A random effect model was used to test the hypotheses. In boys, HOMA-IR score and BMI were positively related to SBP response during exercise (β = 1.03, P = 0.001, and β = 0.58, P = 0.017, respectively). The effects sizes of HOMA-IR score and BMI and the significance levels only changed slightly (β = 0.91, P = 0.004, and β = 0.43, P = 0.08, respectively) when the two variables were added in the same model. A significant positive association was observed between aerobic fitness and SBP response in girls (β = 3.13 and P = 0.002). HOMA-IR score and BMI were found to be positively related to the SBP response in male children and youth. At least partly, adiposity and insulin sensitivity seem to influence exercise SBP through different mechanisms. The positive relationship observed between aerobic fitness and SBP response in girls remains unexplainable for us, although post hoc analyses revealed that it was the case in the ninth graders only.