The aim of our study was to evaluate the potential association between physical activity and occupational stress among firefighters. Data were collected from Cypriot firefighters through a web-based battery of internationally validated questionnaires completed anonymously (COPSOQ, DASS). A total of 430 firefighters (response rate 68%) completed the survey (age range: 21–60 years). More than half of the firefighters (54%) reported either no or minimal physical activity. A total of 11% of firefighters reported moderate to extremely severe stress based on the DASS-S scale. Using multivariable-adjusted logistic regression models, we showed that firefighters who exercised had 50% lower risk of occupational stress, and using a categorical model, we found that every hour per week of increased physical activity among firefighters was associated with 16% lower risk of occupational stress after adjusting for age, education, smoking, and body mass index (OR = 1.16; p = 0.05). In addition, our findings suggest an inverse dose–response relationship between physical activity and occupational stress among firefighters. Physical activity appears to be inversely associated with occupational stress and serves as an important mitigating factor of occupational stress in firefighters. Further research is warranted to evaluate the potential effect of exercise interventions on occupational stress, and the overall mental health of firefighters and other occupational groups.