To accurately examine associations of physical activity (PA) with disease outcomes, a valid method of assessing free-living activity is required. We examined the validity of a brief PA questionnaire (PAQ) used in the European Prospective Investigation into Cancer and Nutrition (EPIC). PA energy expenditure (PAEE) and time spent in moderate and vigorous physical activity (MVPA) was measured in 1,941 healthy individuals from 10 European countries using individually-calibrated combined heart-rate and movement sensing. Participants also completed the short EPIC-PAQ, which refers to past year’s activity. Pearson (r) and Spearman (σ) correlation coefficients were calculated for each country, and random effects meta-analysis was used to calculate the combined correlation across countries to estimate the validity of two previously- and one newly-derived ordered, categorical PA indices (“Cambridge index”, “total PA index”, and “recreational index”) that categorized individuals as inactive, moderately inactive, moderately active, or active. The strongest associations with PAEE and MVPA were observed for the Cambridge index (r = 0.33 and r = 0.25, respectively). No significant heterogeneity by country was observed for this index (I2 = 36.3%, P = 0.12; I2 = 0.0%, P = 0.85), whereas heterogeneity was suggested for other indices (I2 > 48%, P < 0.05, I2 > 47%, P < 0.05). PAEE increased linearly across self-reported PA categories (P for trend <0.001), with an average difference of approximately 460 kJ/d for men and 365 kJ/d for women, between categories of the Cambridge index. The EPIC-PAQ is suitable for categorizing European men and women into four distinct categories of overall physical activity. The difference in PAEE between categories may be useful when estimating effect sizes from observational research.