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Background: Recent evidence suggests that physical activity (PA) and sedentary behavior (SB) exert independent effects on health. Therefore, measurement methods that can accurately assess both constructs are needed. Objective: To compare the accuracy of accelerometers placed on the hip, thigh, and wrists, coupled with machine learning models, for measurement of PA intensity category (SB, light-intensity PA [LPA], and moderate- to vigorous-intensity PA [MVPA]) and breaks in SB. Methods: Forty young adults (21 female; age 22.0 ± 4.2 years) participated in a 90-minute semi-structured protocol, performing 13 activities (three sedentary, 10 non-sedentary) for 3–10 minutes each. Participants chose activity order, duration, and intensity. Direct observation (DO) was used as a criterion measure of PA intensity category, and transitions from SB to a non-sedentary activity were breaks in SB. Participants wore four accelerometers (right hip, right thigh, and both wrists), and a machine learning model was created for each accelerometer to predict PA intensity category. Sensitivity and specificity for PA intensity category classification were calculated and compared across accelerometers using repeated measures analysis of variance, and the number of breaks in SB was compared using repeated measures analysis of variance. Results: Sensitivity and specificity values for the thigh-worn accelerometer were higher than for wrist- or hip-worn accelerometers, > 99% for all PA intensity categories. Sensitivity and specificity for the hip-worn accelerometer were 87–95% and 93–97%. The left wrist-worn accelerometer had sensitivities and specificities of > 97% for SB and LPA and 91–95% for MVPA, whereas the right wrist-worn accelerometer had sensitivities and specificities of 93–99% for SB and LPA but 67–84% for MVPA. The thigh-worn accelerometer had high accuracy for breaks in SB; all other accelerometers overestimated breaks in SB. Conclusion: Coupled with machine learning modeling, the thigh-worn accelerometer should be considered when objectively assessing PA and SB.