Physical activity has several mental and psychological health benefits for students. Various studies in western countries have shown evidence of a relationship between physical activity and academic anxiety. Further, researchers have suggested testing the mechanism of this relationship. In this study, we aim to test the association between physical activity and academic anxiety of Canadian university students and to examine whether the mediation of self-enhancement and self-criticism explains this relationship. Four hundred and forty-two university students participated in the study. Structural equation modeling was applied to develop multiple mediation models. Results revealed that physical activity does not directly affect academic anxiety, but indirectly through self-enhancement and self-criticism. Based on the study findings, it is recommended that physical activity be promoted among students to promote self-enhancement, minimize negative thinking and self-criticism, and reduce their academic anxiety.