Background: We wished to examine the impact of the duration and intensity of physical activity on common anxiety and depressive states. Method: A nested case-control design was applied to data from the Health and Lifestyle Survey. Anxiety and depressive states were measured by caseness on the General Health Questionnaire. Physical activity variables were defined from a detailed activity schedule. Results: After adjustment for potential confounders, the findings suggest that compared to men who reported 0–44 min of daily physical activity, there is benefit to men who exercise for at least 92 min a day (92–161 min a day: OR = 0.57, 95% CI = 0.37–0.87, P < 0.01; 162–554 min a day: OR = 0.65, 95% CI = 0.43–0.97, P < 0.05), but not to women. The protective effect does not appear to vary according to the intensity of activity in men or women. Conclusions: Physical activity of long duration amongst men confers protection against common mood and anxiety states. This study found no such protection for women.