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 < 0.001; adjusted R2 = 0.222) and anxiety symptoms (F(2, 97) = 11.853 p < 0.001; adjusted R2 = 0.180), 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 = 0.486) or anxiety symptoms (B = -0.11, t = 0.725, p = 0.470). 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. A AJHE Self-Study quiz is online for this article via the SHAPE America Online Institute (SAOI) http://portal.shapeamerica.org/trn-Webinars.