Objective This study aimed to analyze the association between the types of physical activity (PA) and the level of generalized anxiety disorder (GAD) in Korean adolescents. Methods This study analyzed data from the Korea Youth Risk Behavior Web-based Survey (KYRBS) for, 2020–2021. The dependent variable was the level of generalized anxiety disorder-7 (GAD-7). The GAD-7 scores were divided into four levels: normal, mild, moderate, and severe. The independent variables were moderate PA, vigorous PA, and strength exercises. Sex, school grade, body mass index, stress, depression, suicidal thoughts, violent victimization, drinking, smoking, substance abuse, sleep satisfaction, and sedentary time were selected as confounding variables. Results The independent variable and all confounding variables showed significant differences with the level of GAD-7 (all p < .001). After adjusting for all confounding variables, we observed a 1.062 elevation in mild anxiety disorders, a 1.147 increase in moderate anxiety disorders, and a 1.218 increased incidence of severe anxiety disorders in the absence of vigorous PA. In the absence of strength exercises, there was a 1.057 elevation in mild anxiety disorders, a 1.110 increase in moderate anxiety disorders, and a 1.351 increased incidence of severe anxiety disorders. However, in the case of moderate PA, after adjusting for confounding variables, there was no significant association with GAD-7 levels. Conclusion To prevent anxiety disorders among Korean adolescents, the type of PA should be considered. Vigorous PA or strength exercises may help prevent GAD in Korean adolescents.