Background: Retirement transition has been shown to associate with changes in physical activity (PA) and self-rated health (SRH), but their interrelationship is less studied. The aim was to investigate changes in accelerometer-measured total PA, moderate to vigorous PA (MVPA), and sedentary time across retirement transition as a predictor of SRH. Methods: Data from the Swedish Retirement Study and the Finnish Retirement and Aging study were harmonized and pooled. Data from 3 waves (about 12 mo apart) were included: 1 preretirement (wave 1) and 2 postretirement follow-ups (wave 2–3). A totally of 245 participants (27% men) were included. Thigh-worn accelerometers were used to collect data for PA variables (wave 1–2), and SRH was obtained from the questionnaire (wave 1–3). Results: Between wave 1 and 2, total PA decreased with 11 (CI, −22 to −1) minutes per day, MVPA was stable (0 [CI, −3 to 3] min), and sedentary time decreased nonsignificantly with 9 (CI, −20 to 1) minutes. SRH changed between all 3 waves (all P < .001). At preretirement, 10 more minutes of MVPA was associated with greater odds of better SRH when adjusting for accelerometer wear-time, cohort, sex, age, and occupational status (odds ratio: 1.11 [95% CI, 1.02–1.22]). This association was no longer statistically significant when additionally adjusting for marital status, body mass index, and smoking. No significant associations were observed between changes in the PA variables during retirement transition and SRH at postretirement follow-ups. Conclusions: This study showed a cross-sectional association between MVPA and greater odds of reporting better SRH before retirement. No longitudinal associations were observed between changes in the PA variables from before to after retirement and later changes in SRH.