Physical inactivity and loneliness are both associated with health risks and can affect each other through various social and behavioral mechanisms. However, current evidence on this relationship is equivocal and mostly based on cross-sectional data. This longitudinal study aimed to determine whether current levels of physical activity (moderate and vigorous intensity) and loneliness are associated with future respective states of themselves and each other. We used data from waves 6-14 (2002-2018) of the Health and Retirement Study (n= 20 134) in a mixed-effects and random-intercept cross-lagged panel model. Analysis showed that current loneliness and physical activity were associated with each future respective state. Additionally, weekly participation in moderate-intensity, but not vigorous-intensity, physical activity was associated with a lower likelihood of becoming lonely in the future (relative risk [RR] = 0.94; 95% CI, 0.90-0.99). However, changes in physical activity were not associated with deviation from a person's typical level of loneliness (for vigorous intensity, mean deviation [MD] = 0.00; 95% CI: -0.04 to 0.03; for moderate-intensity, MD = 0.01; 95% CI: -0.03 to 0.04). Loneliness was not associated with moderate- or vigorous-intensity physical activity in subsequent waves. This suggests that while lower physical activity levels can be associated with future loneliness, changing levels of physical activity has little impact on loneliness at the individual level.