Does a person's environment influence their physical activity? Intuition, theory, and preliminary evidence all suggest that there is an association between environment and physical activity, but questions of causality and magnitude remain poorly answered, in large part due to data challenges. If public health policy is to make meaningful links to the built environment, the literature will require careful tests of causal links and an understanding of the magnitude of those links. This paper reviews the data that are available for testing hypotheses about the built environment, physical activity, and health outcomes, both to educate the research community about existing data and current challenges and to illuminate data gaps that should be addressed as this research agenda moves forward.