ABSTRACT Background Physical activity (PA) has been associated with decreased symptoms of depression and anxiety in the general population, but more consistent evidence is needed in the university population. Purpose Investigate the association between physical activity and depressive and anxiety symptoms in undergraduates. Methods 100 university students (23 ± 4 years, 47% female) were included in this cross-sectional study. We performed multiple linear regression analyses to investigate the association between the main variables. Results The physical activity (MET/min/week) had a significant association with depressive (F(2, 97) = 15.104, p < .001; adjusted R2 = .222) and anxiety symptoms (F(2, 97) = 11.853 p < .001; adjusted R2 = .180), explaining these outcomes in approximately 22% and 18%, respectively. Moderate or vigorous physical activity did not have an association with depressive (B = −0.10, t = −0.700, p = .486) or anxiety symptoms (B = −0.11, t = 0.725, p = .470). Discussion Individuals with high levels of physical activity have lower depressive and anxiety symptoms than individuals with lower levels of PA. Translation to Health Education Practice Increasing the level of physical activity may be a viable strategy to reduce symptoms of anxiety and depression in university students.