Twin studies of physical exercise for Asian twins are sparse. This study aimed to examine genetic and environmental influences on frequency of vigorous exercise (FVE) in South Korean twins, with a special emphasis on sex effects. Telephone interviews on FVE were administered to 1757 twins (mean age = 19.05 years, SD = 3.01 years). Tetrachoric correlations were significantly different between monozygotic (MZ) and dizygotic (DZ) twins in males (.40 vs. .12), but they were similar in females (.44 vs. .45), suggesting the importance of genetic factors in FVE in males and that of common environmental factors in females. A scalar sex-limitation model incorporating age as a modifier was applied to data. The results revealed that genetic, common and individual environmental influences did not vary significantly with age, but differed across two sexes, confirming twin correlational analyses. In the best-fitting model, additive genetic and individual environmental influences on FVE were, respectively, .35 (95% CI [.26, .39]) and .65 (95% CI [.61, .74]) in males, and common and individual environmental influences were, respectively, .45 (95% CI [.35, .53]) and .55 (95% CI [.47, .65]) in females. These results contrasted starkly with recent findings from a large sample of Chinese adult twins (age >18 years), in which most variance (≥95%) of vigorous physical activity was attributable to common environmental influences in both sexes. Replications in other Asian samples are clearly needed.